McKay has been cited as an influence by guitarists such as Geordie Walker of Killing Joke, Robert Smith of the Cure, Pat Smear of Germs, Steve Albini of Big Black, Thurston Moore of Sonic Youth, Johnny Marr of the Smiths, Jim Reid of the Jesus and Mary Chain, Kevin Shields of My Bloody Valentine and Boz Boorer of Morrissey's band.

McKay composed the tune of their first hit single, 1978's "Hong Kong Garden", as well as much of the material found on the band's first two albums, 1978's The Scream and 1979's Join Hands.

Music historian Nick Kent wrote that McKay had "a bent for more adventurous guitar styles involving minor/diminished seventh chord work".

[5] Journalist Scott Calhoun wrote that "McKay made use of harmonics as means of artistic expression as well as way of creating textures related to new approaches in the use of the electric guitar".

[7] McKay also played saxophone on the songs "Suburban Relapse", "Switch", "Regal Zone", "Playground Twist" and "Pulled to Bits".

He and drummer Kenny Morris chose to flee the town after having a dispute with Siouxsie Sioux and manager Nils Stevenson during a signing session at the Other Record Shop on Union Street.

[11] They recorded three songs, "Tightrope", "Amber" and "Vigilante" at studio Terminal 24 in November 1986, with Susie Mészáros on violin and Ruth Phillips on cello.

[12] Melody Maker described it as a "string-driven thing that swoops and darts with perfect precision [...] investing that characteristic McKay guitar screech".

[16] He has influenced several post-punk, noise, indie and alternative rock guitarists including Geordie Walker, Robert Smith, the Edge, John McGeoch, Steve Albini, Thurston Moore, Pat Smear, Jim Reid, Kevin Shields, Johnny Marr and Boz Boorer.

[17] When asked "how did playing with the Banshees impact your guitar style" after the 1979's Join Hands tour, Robert Smith of the Cure stated: "It allowed me to experiment.

"[19] In an article published in Matter magazine in 1984, Steve Albini of Big Black wrote an "all-time non-comprehensive good guitar list", and included McKay in the section titled "Noise" saying : "The Scream is notable for a couple of things: only now people are trying to copy it, and even now nobody understands how that guitar player got all that pointless noise to stick together as songs".

[21] Jim Reid of the Jesus and Mary Chain praised The Scream - era,[22] saying: McKay "was a great guitar player, he was just so inspired."

[23] Kevin Shields of My Bloody Valentine cited the Banshees-MkI as one of his early influences, and he "saw the Banshees in Ireland in 1979", at one of McKay's last concerts with the group.

[33] Bobby Gillespie of Primal Scream described McKay's sound as "quicksilver notes of beautiful sonic violence", adding that he "reinvented rock guitar playing".

[35] When journalist Simon Reynolds interviewed Lydia Lunch saying there was this starkness of sound on certain Teenage Jesus and the Jerks songs that reminded him Siouxsie and the Banshees' circa The Scream, she replied "I loved the guitar work on their records".