McFay was working as a bellhop in Amarillo, Texas when he was asked by Roderick Thomas to substitute on drums in the house band; he played with Thomas's territory band until 1934, also doing a short stint with Red Williams during that time.
In 1934 he played in Oklahoma City with the Spotlight Entertainer Orchestra, the band led by Joe Brantley.
In 1935 he relocated to Los Angeles and played with Bernard Banks, who took his band to the Casino Ballroom in Honolulu.
From 1939 to 1941 he once more played in Honolulu with a band which included Henry Coker; he left Hawaii due to legal troubles.
Following this he played with Harlan Leonard in 1945 and then joined Buddy Banks's band, where he recorded for the first time.