A graduate of the University of Melbourne, where he earned Master of Arts and Master of Laws degrees, McCay established a successful legal practice, McCay & Thwaites. He was a member of the Victorian Parliament for Castlemaine from 1895 to 1899, where he was a champion of women's suffrage and federation. He lost his seat in 1899 but became a member of the first Australian Federal Parliament in 1901. He was Minister for Defence from 1904 to 1905, during which he implemented long-lasting reforms, including the creation of the Military Board.