McCay resumed his old job as Deputy Chairman of the State Savings Bank of Victoria on 10 June 1919, a few days after he returned to Melbourne. He also resumed his relationship with Ella Gavan Duffy. On 30 December 1919, the Premier of Victoria, Harry Lawson, McCay's successor in Legislative Assembly seat of Castlemaine and a former student at Castlemaine Grammar and Scotch College, appointed McCay as chairman of the Fair Profits Commission, a consumer protection body set up to monitor prices and profits. After his term ended in 1921, he was appointed to the advisory board of the War Service Homes Scheme of the Repatriation Commission. He was also Chairman of its Disposals Board from 1921 to 1922. In 1922, the State Savings Bank of Victoria took over the construction of war service homes in Victoria. During the 1923 Victorian Police strike, Monash appointed McCay to create, and later command the Special Constabulary Force that was established to carry out police duties during the strike. McCay ran this organisation from the Melbourne Town Hall, and later the Repatriation Department offices, which were made available rent free by the Commonwealth Government. The Special Constabulary Force was wound up in May 1924.