Before being drafted by the Padres, McCray was taken in the 1st round of the 1982 January MLB draft by the White Sox, the 2nd round of the 1982 June draft by the Oakland Athletics and the 2nd round of the 1983 January draft by the Los Angeles Dodgers. For his minor league career, he hit .227 with 400 career stolen bases, never really establishing himself as a big time prospect. He would finish off his professional baseball career in 1993, splitting the season between Thunder Bay of the Northern League (Independent) and in Mexico for the Monterrey Saltanes.