McKay was born as Dorothy Quackenbush in Portland, Oregon, but her family later moved to Fort Worth in Texas. After moving to New York she became a model and her image was used to promote Chesterfield cigarettes. McKay was voted "Miss American Aviation" in 1938.
By 1939 McKay had moved into films after being given a contract by Paramount Pictures. Initially she made small uncredited appearances before going on to starring roles as a leading lady in many B Movies during the 1940s, working in particular at studios such as PRC and Monogram Pictures. Film worked dried up for her in the 1950s, and she appeared on television and in a minor role in The Merry Widow (1952). Her last film appearance was a small uncredited part in Ten Thousand Bedrooms (1957).
In 1977 she married Hoagy Carmichael, a marriage that lasted until his death in 1981.