In a profound conversation with his twin brother, Essendon defender Ben, the 27-year-old opened up about experiencing some off-field battles six weeks ago.
"Late Feb (February), started feeling in not a great place mentally," the Carlton forward said on the Ben and Harry podcast.
"I think the most challenging part of that was me thinking I shouldn't be feeling the way I was.
"Everything in my world was in such a great place, which is why it was really scary knowing that it didn't make a lot of sense and felt really irrational to feel like that.
"As that progressed, then unfortunately feeling in a worse and worse spot.
"I felt like I had to put on a bit of a facade to pretend to be OK when I really wasn't.
"It got to a place where I had to put my hand up and say I needed some help.
"Since the moment I did that, the support and the love has been so profound."
McKay was a late withdrawal from Carlton's round-two game against Hawthorn, listed by the club as illness.
When speaking before the next week's match against the Western Bulldogs, Blues coach Michael Voss admitted McKay was dealing with some personal challenges and would be out indefinitely.
But McKay has been training again for more than a week and even played for Carlton's VFL team on Saturday night.
He will travel for their Gather Round clash with West Coast at Adelaide Oval on Saturday.
"The moment I did (seek help) that support has been so beautiful - from partner, family, the wider football community and definitely everyone involved in my club," Harry said.
"I knew everyone would be great, but it's blown me away how loving and caring and supportive everyone's been.
"The things you love the most are actually the hardest things to do when you're feeling in a dark place, and that can be irrational and hard to get your head around."
Ben finished the conversation by saying it had been hard to watch Harry struggle.
"From a brother's point of view, it was extremely scary to see you in the state that you were, and that's being totally honest," Ben said.
"It was very hard to see someone you love going through what you were."
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