McKechnie got his first taste of managerial duties in 1915 when he managed 102 games for the Newark Pepper, leading the team to a 54–45 record. Shortly after retiring as a player in 1920, McKechnie returned to manage full-time, assuming the helm of the Pirates in 1922. Managing the Pirates (1922–1926), St. Louis Cardinals (1928–1929), Boston Braves (1930–1937) and Cincinnati Reds (1938–1946), he compiled 1,896 wins and 1,723 losses for a .524 winning percentage. His teams won four National League pennants (1925 World Series1925, 1928 World Series1928, 1939 World Series1939 and 1940 World Series1940) and two World Series championships (1925 and 1940), and he remains the only manager to win National League pennants with three different teams (Pittsburgh, St. Louis and Cincinnati).
McKechnie was not nearly as successful in Boston as he was at his other managerial stops, but he managed to finish "fourth or fifth with teams that should have been eighth," according to Lee Allen in The National League Story (1961). The only year in which the Braves did not even do moderately well during McKechnie's time as manager was in 1935, when Babe Ruth was with the team. According to Allen, McKechnie claimed that Ruth's presence made it nearly impossible to enforce discipline; the faded star drew a huge salary, and lived apart from the team on the road. Additionally, years of high living had rendered him a shadow of his former self. He couldn't run, and he made so many errors that three pitchers threatened to go on strike if he was in the lineup. Ruth lasted only about a month and hit .181. Despite fielding essentially the same team that finished fourth a year earlier, the Braves won 38 games that year and lost 115—the worst record in modern National League history.
According to one baseball reference work, McKechnie had a poor sense of direction, which did not improve when, as the Reds' manager, he began traveling by plane. He arrived in an airport when the Reds were to play the Pirates at Forbes Field. He hailed a taxi and asked the driver to take him to the Schenley Hotel. "I never heard of it," said the driver. McKechnie gave him the names of the nearby streets. "Never heard of them either," the cabbie said. "How long have you been driving a cab here? the manager asked. "Twenty-five years and then some," said the driver, "But so help me I never heard of the Schenley Hotel! You must be in the wrong town! Where do you think you are?" "Pittsburgh," McKechnie said. "Pittsburgh, hell!" retorted the driver. "You're really lost. This is Detroit!"
McKechnie was an unusual kind of manager for his era. A very religious man, he didn't smoke, didn't drink, and didn't use profanity. When he had a problem player who was likely to go out carousing, McKechnie's simple solution was to room with him.