Self-conscious and introverted in private, McCay was nevertheless a charismatic showman and self-promoter, and maintained several lifelong friendships. McCay was a light but frequent drinker; he drank for camaraderie rather than for a love of drinking. To his wife's chagrin, McCay was a smoker of cigars and cigarettes. He was self-taught at the piano, and was an avid reader of poetry, plays and novels; he admired W. B. Yeats, knew the works of Percy Bysshe Shelley and John Keats, and could quote the Bible and Shakespeare.