As a soldier, McCay commanded the 2nd Infantry Brigade in the landing at Anzac Cove on 25 April 1915, during the Gallipoli Campaign of the Great War. He was later wounded in the Second Battle of Krithia and invalided to Australia, but returned to command the 5th Division, which he led in the Battle of Fromelles in 1916, dubbed "the worst 24 hours in Australia's entire history." His failures in difficult military operations made him a controversial figure who earned the disfavour of his superiors, while his efforts to succeed in the face of insurmountable obstacles earned him the odium of troops under his command, who blamed him for high casualties. In the latter part of the war he commanded the AIF Depots in the United Kingdom.