Yes, McKinney Falls does indeed have water! And not just a little bit - the falls are fed by the Onion Creek, which is a pretty good-sized river. The water comes tumbling down over the limestone rocks, and it's really quite a sight to see.
The best time to see the falls is probably in the springtime, when the water is really rushing. But even in the summertime, there's usually enough water flowing to make the falls pretty and refreshing. So come on out and enjoy the falls - they're one of the best things about McKinney Falls State Park!