Mark Warburton's men have already won the Scottish Championship title and Challenge Cup.
The Gers will be returning to the Scottish Premiership next season after winning the Championship title. And they have also been able to celebrate success in the Challenge Cup and have a Scottish Cup final to look forward to before the campaign draws to a conclusion.
And McKay suggested that the unity within the team has been a key part of their success this term as it has allowed them to play such excellent football.
"You can tell even by watching us play that the manager trusts us - we'll even knock it back to Wes Foderingham if we need to," he told The Scottish Sun.
"When you watch the top European teams, if a player is being marked their team-mates will still give them the ball because they trust them.
"It's a bit like that on the field with us - even if we lose it, we believe we'll get it back.
"It has been a big factor that every one of our players trusts the ability of the others."
Their confidence in their own ability has often meant that opponents have to worry about several members of the squad rather than just the likes of Martyn Waghorn and McKay himself.
For example, full-backs James Tavernier and Lee Wallace have scored 17 goals between them in the league this season. And having players all across the pitch that are capable of creating and scoring chances means that they can frequently look to make goalscoring opportunities no matter which players are there to finish them off.
Their biggest challenge now will be maintaining that style once they return to the top flight. Though they have looked strong against the Premiership sides they have come up against this term, it seems likely that they will have to do a lot more defending than they have had to do this season, so adopting a more rigid shape may bring them more success, even if it leads to a less exciting brand of football.