The 23-year-old has signed with League Two side Edinburgh City until January.
Centre half McKay has found first team opportunities difficult to come by this season, after returning to the first team squad having missed the entirety of 2020/21 with a cruciate injury.
He had made just four appearances this season, all coming off the bench.
McKay is contracted with Raith Rovers until the end of this season.
A statement from the club said: “This move will benefit Dave in giving him valuable match experience, and Edinburgh City FC as manager Gary Naysmith looks to move the Meadowbank Stadium club into the playoff positions in the league.”
McKay’s loan move follows that of Raith striker James Keatings who joined League One Montrose last week.