He completed undergraduate studies at Duke University in 1939 and subsequently moved to Oxford that year as a Rhodes Scholar.
McKenzie worked with the Cowles Commission while it was in Chicago and served as an assistant professor at Duke from 1948 to 1957.
Having received his Ph.D. at Princeton University in 1956, McKenzie moved to Rochester where he was responsible for the establishment of the graduate program in economics.
McKenzie has been the recipient of numerous professional awards, including the Guggenheim Fellowship in 1973, election to the United States National Academy of Sciences in 1978, the Order of the Rising Sun in 1995 and honorary doctorates from Keio University in 1998 and Kyoto University in 2004.
In 2014, Till Düppe and E. Roy Weintraub published a book arguing that McKenzie was unfairly excluded from the Nobel Prizes which both Arrow and Debreu won for work on general equilibrium theory.