Thomas, who was about 15 years old at the time, was at Fort Astoria when his father Alexander McKay was killed in late 1811 at Clayoquot Sound during the Tonquin incident. In 1813 Fort Astoria and all other Pacific Fur Company assets were sold to the North West Company. Thomas McKay, like a number of other Astorians, joined the NWC at that time.
Between 1815 and 1819 Thomas was in the Red River Colony and fought on the side of the North West Company and the Métis people against the Hudson's Bay Company. McKay fought at the 1816 Battle of Seven Oaks. By 1819 he was back on the Columbia. Within two years the entire North West Company was merged into the Hudson's Bay Company.
In the 1820s the HBC sent trading, trapping, and exploring parties south into the Willamette Valley and beyond, eventually reaching California (Mexican Alta California at the time). In 1825 Thomas McKay and Finan McDonald led one of these exploring expeditions south of the Columbia River. He led or accompanied several others.
From 1826 to 1828 McKay took part repeatedly in the Snake Country brigades under Peter Skene Ogden. During this time Ogden explored not only the Snake River basin, but the Deschutes River and Blue Mountains of Oregon, as well as the Klamath Lake region, and the Great Salt Lake and its tributary the Weber River.
George Simpson, head of the HBC, had decided to try to over-exploit the Snake Country and create a "fur desert", for the political purpose of keeping American trappers and traders away. McKay, along with other former NWC trappers such as Peter Ogden, Finan McDonald, Francois Payette, and others, "took up Simpson's orders with a fanatical zeal, declaring war on fur-bearing animals south of the Columbia," as historian Richard Mackie put it.
In 1829 Thomas McKay took part in Alexander McLeod's expedition to California. McLeod's party reached as far south as the San Joaquin River and was the first of what became an annual trapping expedition to California, known as the Southern Party. The route from Fort Vancouver to the lower Sacramento River became known as the Siskiyou Trail.
In 1832 McKay was given charge of an HBC farm at Scappoose. Within a year he had moved to and settled at Champoeg. He may have retired from the HBC at this time, although he continued to work for the company off and on for many years.
McKay lead a brigade to the Snake Country in 1834, reaching into the far southeast of today's state of Idaho. John Kirk Townsend, who was accompanying an American expedition to establish Fort Hall, described Thomas Mckay's party at the future site of Fort Hall in 1834 as consisting of 17 French Canadians and "half-breeds", and 13 Indians (Nez Perce, Chinook, and Cayuse). Townsend also noted that McKay enforced the HBC policies brigade order, decorum, and strict subordination, as well as the prohibition of trading whiskey to the Indians. All these things, Townsend noted, were in stark contrast to the behavior of American fur traders in the region. Fort Hall was part of an effort by Nathaniel Jarvis Wyeth to break into the Columbia region and compete with the HBC. Politically the entire Oregon Country was free and open to British and American ventures, but the HBC was able to maintain its dominance in the region through various barriers to entry tactics such as dumping and predatory pricing. Wyeth's attempt to compete in the early 1830s was quickly made untenable by the HBC. In the case of Fort Hall, Thomas McKay built the rival post of Fort Boise, which supported an increased HBC effort to turn the Snake Country into a "fur desert" and drive the Americans out. The strategy worked and by 1837 Wyeth had abandoned the region and sold his company's assets, including Fort Hall, to the Hudson's Bay Company.
Thomas McKay remained active in the Snake Country until 1838. He spent most of 1839 at Champoeg.
In 1840 he drove more than 3,600 sheep and 661 cattle from California to Fort Nisqually for the HBC.
In 1841, members of the overland party of the Wilkes Expedition met and breakfasted with McKay at his Champoeg farm. George Colvocoresses of the expedition wrote about McKay, saying that he is "one of the most noted individuals in this part of the country. Among the trappers, he is the hero of many a tale."
McKay raised and led a company of militia which saw active service during the Cayuse War of 1848.
In September 1848 he guided a train of 50 wagons to California.
He died in 1849, and is buried in an unmarked grave in Scappoose.