Prior to turning to narratives, McKay was well known in the music video world. In addition to directing videos for R.E.M., he also helmed ones for Ziggy Marley, The Feelies, Son Volt, and Soul Coughing. He directed R.E.M.'s longform video "Tourfilm" and was partnered with the group's lead singer Michael Stipe in C-Hundred Film Corporation. McKay also directed the full-length documentary "Lighthearted Nation," as well as an award-winning series of public service announcements under the umbrella title "Direct Effect." With Michael Stipe (of R.E.M.), McKay formed C-Hundred Film Corp, a production company that had several projects in the pipeline, including Christopher Munch's "Backward Looks, Far Corners," Tom Gilroy's "Spring Forward" and McKay's own "Our Song." The latter two were selected for screening at the 2000 Sundance Film Festival.