McCay became ill in 1930 with cancer. In his last months he destroyed all his papers. He died on 12 October 1930. He was survived by his daughters, now Reverend Mother McCay and Mrs George Reid, and six brothers and two sisters. He was given, at his request, a non-military funeral at Cairns Memorial Presbyterian Church in East Melbourne, and was buried at Box Hill Cemetery. For pallbearers he had Generals John Monash, Harold Edward Elliott, Cecil Henry Foott, R. E. Williams, and J. Stanley, along with Sir William McBeath, the chairman of the State Savings Bank; William Thwaites, his law partner; and businessman A. S. Baillieu. Among the other mourners was Generals Brudenell White and John Patrick McGlinn, who had been his deputy commander of AIF Depots in the United Kingdom; John Latham, the Leader of the Opposition; Dr W. S. Littlejohn, the headmaster of Scotch College and Sir John MacFarland, the Chancellor of the University of Melbourne.