McKenzie was signed by Coventry City on transfer deadline day in August 2006 for an initial £600,000 that, depending on appearances and promotion, could rise to £1m. Coventry's first match after signing McKenzie was against Norwich – however, McKenzie was unable to play due to a condition of the transfer that prevented him from playing in either of the two fixtures between Coventry and Norwich in the 2006–07 season. He made his debut for Coventry on 12 September 2006 as a substitute against Ipswich Town at Portman Road. He started the 2007–08 season well, scoring against Barnsley on the opening day of the season and against Hull, before a knee injury put him out of action for several weeks. He scored in Coventry's opening game of the 2008–09 season against his old club, Norwich City. This marked McKenzie's 100th professional career goal and he celebrated by revealing a vest with "100" on it. He was subsequently booked for his celebration.