McKay arrived in London in autumn 1919. He used to frequent a soldier's club in Drury Lane and the International Socialist Club in Shoreditch. A militant atheist, he also joined the Rationalist Press Association. It was during this period that McKay's commitment to socialism deepened and he read Marx assiduously. At the International Socialist Club, McKay met Shapurji Saklatvala, A. J. Cook, Guy Aldred, Jack Tanner, Arthur McManus, William Gallacher, Sylvia Pankhurst and George Lansbury. He was soon invited to write for Workers' Dreadnought.
In 1920, the Daily Herald, a socialist paper published by George Lansbury, included a racist article written by E. D. Morel. Entitled "Black Scourge in Europe: Sexual Horror Let Loose by France on the Rhine", it insinuated gross hypersexuality on black people in general, but Lansbury refused to print McKay's response. This response then appeared in Workers' Dreadnought. This started his regular involvement with Workers' Dreadnought and the Workers' Socialist Federation, a Council Communist group active in the East End and which had a majority of women involved in it at all levels of the organization. He became a paid journalist for the paper; some people claim he was the first black journalist in Britain. He attended the Communist Unity Conference that established the Communist Party of Great Britain. At this time he also had some of his poetry published in the Cambridge Magazine, edited by C. K. Ogden.
When Sylvia Pankhurst was arrested under the Defence of the Realm Act for publishing articles "calculated and likely to cause sedition amongst His Majesty's forces, in the Navy, and among the civilian population," McKay had his rooms searched. He is likely to have been the author of "The Yellow Peril and the Dockers" attributed to "Leon Lopez", which was one of the articles cited by the government in its case against Workers' Dreadnought.