McKenzie moved from Hearts to Livingston in 2003. McKenzie appeared 119 times during his 3-and-a-half-year spell in West Lothian. Livingston won their first major honour when they defeated Hibernian 2–0 in the 2004 Scottish League Cup Final with goals in the final scored by Derek Lilley and Jamie McAllister. This triumph came amidst a cash crisis and period in administration for Livingston, which severely weakened the playing side. Despite McKenzie's best efforts, the club was relegated after several years of struggle, following the 2005–06 season.