 He went on loan to Bury for a month in January 1993, making two appearances for the Shakers.He returned to Manchester United, winning the Denzil Haroun Reserve Team Player of the Year award in 1993, but struggled to break into the first team, making only one appearance before being sold to Kilmarnock in September 1994 along with Neil Whitworth in a combined deal worth £350,000.On the creation of player squad numbers in the Premier League for the 1993–94 season, McKee was issued with the number 17 shirt, which became the property of the much more famous Andy Cole, who joined United from Newcastle four months after McKee's departure.