Her performances at various New York City music venues, including the Sidewalk Cafe and Joe's Pub, drew attention from record labels.

[7] Jon Pareles of The New York Times called the album "a tour de force from a sly, articulate musician who sounds comfortable in any era".

[10] Pretty Little Head was released in the United States on 31 October 2006 on McKay's own label, Hungry Mouse, and was marketed by SpinART Records.

[11] McKay made her Broadway debut as Polly Peachum in the Roundabout Theatre Company's limited-run production of The Threepenny Opera, co-starring with Alan Cumming, Jim Dale, Cyndi Lauper, and Brian Charles Rooney.

[13] On October 13, 2009 she released her fourth studio album, Normal as Blueberry Pie – A Tribute to Doris Day on Verve Records.

Songs include Moby Grape's "Murder in My Heart for the Judge", The Small Faces' "Itchycoo Park", the Steve Miller Band's "Quicksilver Girl", Frank Zappa's "Hungry Freaks, Daddy", The Beatles' "If I Fell", The Cyrkle's "Red Rubber Ball", and Herman's Hermits' "Mrs. Brown, You've Got a Lovely Daughter".

[19] McKay, along with violinist Philippe Quint, starred in and contributed music to the independent film Downtown Express, directed by David Grubin.

[25] She has performed at events for the progressive radio station WBAI, Planned Parenthood, Farm Sanctuary,[26] and the Coalition to Ban Horse-Drawn Carriages, among many groups.