McBey was born in Newburgh, Aberdeenshire, Scotland, and he began his career as a bank clerk. He attended evening classes at Gray's School of Art, and taught himself how to make etchings on zinc plates. By 1910 he quit his banking job and traveled to the Netherlands where he viewed etchings by Rembrandt. From 1910 onwards he travelled widely, visiting Europe, North Africa and America. In 1911 he had his first solo exhibition at the Goupil Gallery in London.
He enlisted in the British Army at the start of the First World War and after making a number of drawings on the Western Front in 1916, he was appointed an official war artist to the Egyptian Expeditionary Force. Throughout 1917 and 1918 McBey accompanied the Allied advance in Palestine, from Gaza to Damascus. He worked in watercolour and oil. He made several visits thereafter to the Middle East and North Africa. McBey also received commissions to paint a number of formal portraits.
There is an almost complete collection of his etchings at the Boston Public Library.
