McKinley was born in Montreal, Quebec to a Canadian mother and Irish Anglian father. Relocating first to Dublin, McKinley spent much of her early life in northwest Ireland during the Troubles. In a 2019 interview, McKinley stated her first ever visit to a museum in Omagh, Northern Ireland was halted by the 1981 hunger strike, and she was only able to make the trip with fellow classmates months later. After moving back to Canada, McKinley attended Queen's University in Kingston, Ontario where she received a bachelor's degree in Art History and French. McKinley then earned her master's degree in Museum Studies at the University of Toronto.