McKay signed on as an inaugural member of the, then, Queensland Roar prior to the 2005–06 season – the first in the history of the A-League. McKay was given the number 17 shirt, which he has retained throughout his career at the Roar. Initially signed as a squad player behind the more established South Korean duo Hyuk-Su Seo and Tae-Yong Shin, McKay quickly got his opportunity due to a career-ending injury suffered by Shin in the clubs' first ever A-League fixture, against the now defunct, New Zealand Knights. Following the departure of club captain, Craig Moore midway through the 2009–10 season, McKay was named as club captain. He has played the highest number of games for the Roar with 184 appearances, scoring 21 goals.