Born in Montreal, Quebec, McKegney was chosen 32nd overall by the Buffalo Sabres in the 1978 Amateur Draft after a fine junior career with the Kingston Canadians of the OHA. He accumulated 152 goals, was named to the OHA first and second all-star teams once each, and played for Canada at the 1978 World Junior Championships.

After scoring 39 points in 24 games for the Hershey Bears of the AHL in 1978-79, the young forward was recalled to Buffalo. He notched eight goals and played his position well, but the club was knocked out in the first round of the playoffs. The next year, McKegney scored 23 goals and recorded an excellent +40 plus/minus rating. The clever winger exploded for 37 goals the next year and formed a dangerous partnership with centre Derek Smith.

The talented forward continued to produce goals for Buffalo but the club did not rise back up to the status of Stanley Cup contender it once enjoyed. In June 1983, he was part of the package sent to the Quebec Nordiques for Real Cloutier. He scored 24 goals, but the team lost out to the archrival Montreal Canadiens in the Adams Division finals. McKegney was sent to the Minnesota North Stars in December 1984 and helped the club reach the semi-finals that spring. His goal-scoring totals dropped in the Twin Cities, but he regained his form after he was traded to the New York Rangers early in the 1986-87 season.

McKegney set a career high with 40 goals after joining the St. Louis Blues prior to the 1987-88 season. He was a useful sniper with 13 power play goals and helped the Blues battle the favoured Red Wings hard in the Norris Division finals. After scoring 25 goals the next year, his production dropped off late in his career. McKegney toiled briefly with the Detroit Red Wings and Chicago Black Hawks and had a second tour duty with a much weaker Quebec team. He spent the 1991-92 season with the Varese club of Italy then played 23 games for the IHL's San Diego Gulls the next year before retiring.