McKeefry was born in Greymouth, the fifth of seven children of Michael McKeefry, a police constable, and Mary (née McAlary). Both his parents were from County Londonderry, Ireland.
The birthplace of McKeefry was Greymouth, where he was one of seven children born to Michael McKeefry, a law enforcement officer, and Mary McAlary. His parents originated from County Londonderry in Ireland.