 McCay's paternal grandparents, farmers Donald and Christiana McKay, immigrated from Scotland to Upper Canada in the mid-1830s. McCay's father, Robert McKay (1840 – March 21, 1915) was born in Woodstock, Upper Canada, the third of six children. McCay's maternal grandparents, Peter and Mary Murray, were also Scottish immigrants, and settled as farmers in East Zorra in Upper Canada. Their daughter Janet was the third of nine children.
