McKinley graduated from Armstrong High School—now known as Friendship Armstrong Academy—in Washington, D.C. He then attended Virginia Union University for a year before transferring to New York University (NYU), from which he graduated in 1931 with a Bachelor of Science in physical education. He was the first African-American to receive a B.S. degree from the Department of Physical Education at NYU.
McKinley coached boys and girls at the Abyssinian Baptist Church in Harlem in 1928–29, leading the boys basketball and track teams and girls basketball team to city championships.[2]