Celtic take on Molde in European competition on Thursday, and Mackay-Steven is wary of the threat that the Norwegian side could pose.
Molde have drawn with Ajax and beaten Fenerbahce in their first two Europa League matches, further underlying their class.
And Mackay-Steven believes that Celtic will no longer be viewing the match as an easy three points.
He said: "We certainly can’t take them for granted and that’s maybe a good thing because perhaps if we’d played them to start with, we might have thought it was going to be the easiest game.
"I certainly don’t think that’ll be the case now and we’ll need to treat them with a lot of respect."
If Celtic can get a result in midweek, it will leave them in a strong position to quality from the group stage of the Europa League, as they have started well in the competition.
Draws against Ajax and Fenerbahce have given Ronny Deila's side a platform to build on, but they cannot afford to lose in Norway.
Celtic have made no secret of their desire to go a long way in the Europa League this season, meaning they will be going all out to get the three points against Molde.