He is perhaps best known for coining the phrase "too big to fail" in regard to large American financial institutions, as well as for his struggle with, and eventual death from, AIDS.

[1] He attended Kent School and later Princeton University from 1949 to 1951, but dropped out and enlisted in the United States Air Force.

[1] He raced cars and was involved in several car-related businesses, including Auto Interior Decorators, Inc. and Fairfield Firestone.

His physician speculated that McKinney became infected with HIV in 1979 as the result of blood transfusions during heart surgery.

[15] Additionally, in 1988, Connecticut's legislature honored McKinney's legacy by naming the Stamford Transportation Center after him.

[1] Their son, John McKinney, was minority leader of the Connecticut State Senate until the end of 2014, and was an unsuccessful candidate for the Republican nomination for Governor in the 2014 elections.