McKay was born in Mosman to journalist Claude Eric Ferguson McKay and Dorothy Hope Sidney. He went to the Shore School before studying at the University of Sydney where he graduated with a Bachelor of Arts in 1931 and a Bachelor of Laws in 1934. He was an amateur golfer and on 2 August 1934 he married Odette Anita Madeline Lefebvre, who was also a golf champion, having won the NSW State championship in 1931 and 1933. They had two children before divorcing in 1946. He married a second time to Peggy Burleigh on 28 October 1949, and they had a daughter.
