After high-school, McCaig spent a year skiing and hiking in Lake Louise, where he first began questioning his belief in the existence of God.

[1] His study of the revelations of Fatima and Lourdes, and the lives of Faustina Kowalska, Padre Pio and Pope John Paul II affirmed his belief in the divinity of Jesus and the existence of God.

While taking RCIA, before his conversion, McCaig began co-leading the Sacred Heart Cathedral young adults group, with a recent convert.

McCaig studied Ignatius of Antioch, Pope Clement of Rome, Polycarp and Irenaeus, and saw the existence of apostolic succession, Petrine ministry, real presence of Christ in the Eucharist, intercession of saints, prayer for the dead, church hierarchy in bishops, deacons, priests, and three levels of holy orders.

[2][6] In the spring of 1987, two weeks after entering into full communion with the Catholic Church, McCaig took the Sacred Heart Cathedral youth group to a NET retreat.

[1][3][4][7] While serving on NET, McCaig met Bob Bedard, the founder of the Companions of the Cross, at a charismatic conference in Notre Dame.

[5][7] While discerning his vocation in St. Andrew's Cathedral in Victoria, British Columbia, McCaig recalls asking God, "If you really, really want me to be a priest, then I need you to speak to me in a way I will really understand."

Catholic newspaper and saw Sean O'Sullivan's "Dare to be a priest like me" advertisement, that he saw ten years prior on a road sign in Ontario.

Maj-Gen. Chapdelaine stated this pilgrimage was part of a program for the spiritual resilience of Canadian Armed Forces members who seek to deepen their faith.

[9] McCaig serves on the Board of Renewal Ministries Canada and has participated in missionary outreach to over fifteen countries in Africa, Eastern Europe, and Southeast Asia.