David McKay was born in Scotland. He started his career in junior soccer in Dundee. He then joined Dundee Football Club.
On October 1, 1902 he signed for Bolton Wanderers after being transferred from Dundee. Dave played in seven league games for the English club.
The inside left returned to Scotland before the start of the 1903-04 season and joined Aberdeen Football Club. He left Aberdeen after the 1903-04 season.
He then emigrated to the United States. After playing in Denver for three years he moved to Chicago in 1908.
He won the Peel Cup with Hyde Park Blues in 1910. He stayed with the Hyde Park Blues until the end of the 1914 season. He returned to Scotland and in 1919 played in a benefint game in Dundee.