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McShay attended Swampscott High School in Swampscott, Massachusetts, where he played quarterback for the Big Blue and graduated in 1995. He then attended the University of Richmond, where he was a walk-on for the Spiders in 1995 and served as a scout-team quarterback before sustaining a back injury that ended his college career. He graduated from Richmond in 1999 with a B.A. from the Jepson School of Leadership Studies.
McShay had worked as an undergraduate assistant football coach at the University of Richmond before landing an internship with former NFL scout Gary Horton in 1998. Following graduation, McShay worked full-time for "The War Room", (1999–2006) a start-up publication created by Horton eventually bought by ESPN and renamed "Scouts Inc." He joined ESPN in 2006 as a football analyst, providing in-depth scouting information on college football players across the country. He makes regular appearances on a number of ESPN programs, including ESPNU Coaches Spotlight, SportsCenter, and ESPN Radio focusing on the NFL Draft. He is often featured alongside ESPN college football analyst Mel Kiper, Jr.