Zimbabwe-born second-gamer Gary Ballance top-scored with 79 off 96 balls while Ireland-born Eoin Morgan made 50 on a slow-paced pitch at the MCG.
England captain Alastair Cook won the toss in sunny conditions and chose to bat, but the opener's lean summer continued when the left-hander was caught behind for four in the first over.
The wicket-taker was McKay, the man who couldn't even get a game for his BBL side Melbourne Stars three days earlier.
While McKay had claimed only four victims in four BBL games for the Stars this summer, he was Australia's leading ODI wicket-taker in 2013 with 34 wickets at 27.82.
McKay won selection ahead of fit-again Test quick James Pattinson.
"I have a lot of faith and confidence in Clint," Australia captain Michael Clarke said on Saturday.
"Clint has been a very good performer over a long period of time for us and Twenty 20 cricket is different to one-day cricket."
McKay also removed Joe Root lbw for three off 23 deliveries, after Root failed to overturn the decision with a third-umpire review.
England's best batsman Ian Bell had a rush of blood and was bowled by spinner Xavier Doherty for 41. The classy opener had attempted a big slog to the leg side.
Morgan dominated an 83-run stand with Ballance before Morgan was caught at cover at 4-145. Ravi Bopara (17) fell caught behind off Nathan Coulter-Nile's bowling.
England's hopes of a lower-order fightback suffered another key blow when allrounder Ben Stokes on 21 was bowled by James Faulkner at 6-206.
Doherty dropped a waist-high chance at third man with Ballance on 74 as McKay was robbed of his third wicket. But Doherty made no mistake three balls later as Ballance departed after scoring his maiden ODI half-century.
However Jos Buttler (34 not out) and Tim Bresnan (16 not out) added a crucial 41-run stand for the eighth wicket off 26 balls to close England's innings.
Brisbane will host game two of the five-match series on Friday.