The 26-year-old insists nothing he experiences in the game will feel as demoralising as the moment the Rugby Park club took a deal off the table for him when he was 16, claiming they had discovered a medical issue, reported to be a hip problem, that would stop him making a living from the game he loved.
McKay went on to sign for Rangers shortly afterwards and is currently in the prime of his professional career.
He said: "I got released and I was basically told I wouldn't play football again. It was heartbreaking. If you asked any of my teachers at school, I told them I was going to be a footballer.
"I started looking at apprenticeships and college. It was a lot different to what I was expecting because I thought I was going in to sign a deal with Kilmarnock and then I turned up and it had been taken off the table.
"They said after doing my medical that they'd found something that might be a problem. When I went to Rangers, I did a medical there and they said there was nothing wrong with me.
"I've got no idea if it was a medical, football or financial decision from Kilmarnock. I was a young kid and as soon as they told me that, I wanted out the room as fast as possible."
The mental anguish McKay endured after his Killie snub has helped him manage any adversity he has encountered since, meaning he is able to take anything that happens in football in his stride.
He said: "I thought my dad was at the wind-up when he told me he'd had a phone call and somebody was wanting me. It turned out it was Rangers, so I went in for a few days, they offered me a contract and the rest is history.
"It worked in my favour, but ever since that moment I've always said to myself, 'I've been that low, so whatever I can do now is brilliant'.
"I'll never get too low and I'll never get too high because I was on such a high when I thought I was going in to sign and then it got taken away and I was on such a low a few minutes later.
"I've got a different outlook on life to maybe a lot of other footballers. They can have their highs and lows, but whenever I do feel a bit low, I'll look back on that day, and it doesn't compare to that."