On 1 September 2015, McKay made his professional debut for Doncaster Rovers in a first round win in the Football League Trophy versus Burton Albion. McKay started the match that the club won 5–3 on penalties after a goalless draw.[5][6]
Ilkeston FC (loan)
In October 2015, McKay and his twin brother Jack went out on loan to Ilkeston to gain first-team experience.[7]
Leeds United
On 11 January 2016, McKay and his brother Jack both signed for Leeds United for undisclosed fees on two-and-a-half-year contracts under then head coach Steve Evans.[8][9]
During the pre-season of the 2016-17, McKay was involved in the first-team squad, playing regularly in pre-season due to the departure of centre-back Giuseppe Bellusci and the injury to Liam Cooper.[10][11]
In July 2019, McKay signed for Scottish League One club Airdrieonians.[16] where he primarily played as a midfielder until his departure on 31 May 2021.