He became a member of the Liberal Party of Australia in 1991, thus becoming only the second Liberal to hold a seat on the Legislative Council. McKay only faced one election as a Liberal member, which was in 1995 he successfully won the election but only on a margin of preferences.
McKay served as Minister for Health during the Rundle government. He is one of only a few members of the Legislative Council to have served as a minister in the last 60 years.