In 2004 McKay returned to the cinema with his second full-length feature, directing Academy Award-winning screenwriter Julian Fellowes's adaptation of P. G. Wodehouse's novel Piccadilly Jim.
McKay's return to cinema in 2004 was marked by his involvement in his second major film project, which he directed based on a screenplay by Academy Award-winning writer Julian Fellowes, drawing from the novel Piccadilly Jim by P. G. Wodehouse.