On 10 March 1919, McCay handed over command of the AIF Depots in the United Kingdom to Major General Charles Rosenthal. After a farewell dinner hosted by Monash, he embarked for Australia, where his AIF appointment was terminated. In 1919, along with George Swinburne and Generals White and Legge, he produced a report on the organisation of the post-war Army. In 1920, he joined Generals Chauvel, White, Monash, Legge, and Hobbs to produce a second report on the subject. McCay retired from the Army in 1926 with the honorary rank of lieutenant general.