In about 1790, William joined the North West Company, at about the same time as his brother Alexander McKay. He travelled widely in the regions north and west of the Great Lakes and traded along the Menominee River and afterwards at Portage la Prairie. He became a partner of the company in 1796 and retired in 1807, in which year he was also made a member of the Beaver Club at Montreal.
When war broke out with the United States of America, McKay almost immediately offered his services to the British army. His first major contribution was to make a journey of by canoe from Montreal to the British military post on St. Joseph Island on Lake Huron via York, the provincial capital, in only eight days. The news of the declaration of war he carried, along with orders from Major General Isaac Brock, the Commander in Upper Canada, allowed the British detachment to take the American detachment at Fort Mackinac by surprise. This victory encouraged many Native Americans to side with the British, resulting in further British victories in the west during the following year. Later during the autumn and winter of 1812, McKay returned to Montreal to help raise the Corps of Canadian Voyageurs, a corps which transported supplies to Upper Canada. When this corps was transferred to the Commissariat, McKay became an officer in the Select Embodied Militia. During 1813, McKay was promoted to Major and given command of the Michigan Fencibles, a local quasi-regular unit recruited in the North West. Early in 1814, the Americans had captured the isolated post of Prairie du Chien. This threatened the morale and allegiance of the Indians. Supported by the newly appointed Commander at Fort Mackinac, Lieutenant ColonelRobert McDouall, McKay mounted a scratch expedition of Fencibles, voyageurs and Indians which recaptured the post at the Siege of Prairie du Chien. McKay was later appointed to head the Indian Department at Mackinac. When the war ended, he opposed returning Mackinac and Prairie du Chien to the Americans, as it would place many Indians at their mercy, but was overruled.
Family
In the North West, McKay took a country wife, Josette Latour. In 1808, at Montreal, he married Eliza Davidson, daughter of Judge Arthur Davidson and his first wife, Jane, daughter of Alexander Fraser, former officer in the 78th Fraser Highlanders and afterwards Seigneur of La Martinière, Vitré and Saint-Gilles. McKay died of cholera in 1832, and was survived by one son,
Robert McKay, was a lawyer at Montreal. He inherited the Seigneury of Saint-Gilles de Beaurivage, from his maternal uncle Walter Davidson, later selling it to his uncle, David Ross.