With Federation in 1901 came the opportunity to run for the new Parliament of Australia. McCay contested the 1901 election as a Protectionist Party candidate for Corinella, the Federal electorate that encompassed the Castlemaine area. McCay, who characterised himself as a liberal, supported the widest possible enfranchisement of women, the protection of industry and revenue through tariffs, and the White Australia policy. The war in South Africa was now in its final stages and the electorate forgot or forgave McCay's "treason", electing him to the first Australian Parliament.