The 21-year-old only joined the Scottish Championship leaders after being released by Kilmarnock five years ago.
The forward was let go by the Scottish Premiership side in 2011. But the 21-year-old has claimed that the reason he was released by Killie continues to make little sense to him, but, having now established himself as an important member of Mark Warburton's side, the experience of being rejected has helped him appreciate the opportunity at Ibrox.
"I was expecting to go in and sign a full-time professional contract but suddenly it wasn't there anymore," he told The Scottish Sun.
"They said I'd failed my medical and that I had a problem with my hip that meant I would miss games. I've never had a problem with my hip, before or since.
"It does motivate you because it was tough to take at the time. It's probably helped me to stay grounded and not take anything for granted.
"Even when I went to Rangers I broke through but then I was out on loan, so it's been up and down. It's good now to have that bit of stability, so I just need to make sure that I keep performing."
As McKay alluded to, it has only been this season that he has really begun to enjoy a prolonged run in the Gers side, as despite making his debut for the club in 2012, he has previously been sent out on loan on two occasions.
But he has proved this season that he was deserving of that chance to help Warburton's men in their quest to get back to the top flight.
His tally of four goals in the Scottish Championship may not be the most impressive, but his contribution of seven assists has been crucial to the form of the likes of Martyn Waghorn and Kenny Miller, and has helped the Light Blues open up a 14 point lead at the top of the table.
And he was able to show Kilmarnock how wrong they were to let him leave as he started both of their Scottish Cup ties last month, helping Rangers get the victory in the replay.