Born at Mohawk River Valley, he was the son of Donald McKay, a former soldier with the 78th Fraser Highlanders, and his wife Elspeth Kennedy. His father, a native of Golspie, Sutherland, fought at the Battle of Quebec. At the end of the Seven Years' War, his father was discharged from the British Army and settled at Mohawk River. During the American War of Independence, Donald McKay served with the King's Royal Regiment of New York and was afterwards one of the original United Empire Loyalists who settled at Glengarry County, Upper Canada.