He returned to the university in 1892 and completed his Bachelor of Arts degree. He then embarked on a Bachelor of Laws (LLB) degree. In 1895, he was awarded an MA degree, majoring in mathematics. He completed his law degree the next year, with first class honours, in spite of rarely attending the lectures due to his work, political and military commitments. In 1895, he was admitted as a barrister and solicitor of the Supreme Court of Victoria and established a legal practice in Castlemaine. His practice had the first telephone in the town. He was awarded his Master of Laws (LLM) degree in 1897. In 1898, he went into partnership with William Thwaites, whose brother Walter married his sister. The firm's name was then changed to McCay & Thwaites. It would later hire one of the first women to become an articled clerk in Victoria. On 8 April 1896, McCay married Julia Mary O'Meara, the daughter of a Roman Catholic Kyneton police magistrate. Sectarianism in Australia made such marriages uncommon, and the marriage was opposed by both their families. It produced two daughters, Margaret Mary ("Mardi") and Beatrix Waring ("Bixie"), born in 1897 and 1901, respectively.