Australia's players admit they have little knowledge of the world's 108th-ranked side ahead of Tuesday morning's (AEDT) practice match in Skopje.
But they know they'll be expected to build on their Asian Cup success and a 2-2 draw with world champion Germany that further increased the excitement around Ange Postecoglou's side.
McKay says Tuesday's match offers a great chance to see how Australia can handle being the favourite, something he hopes will become a regular occurrence.
"I think now that we've done well, winning the Asian Cup and getting this result against Germany, I think that expectation is there now and it's about how we can deal with that," McKay said on Friday.
"We're going in as favourites maybe in the game, that's a different scenario for us.
"That's good I think and it's what we're going to have to live up to in the future if we become as good as side as we want to be."
FYR Macedonia, coached by former player Bosko Gjurovski, is yet to qualify for the European championship finals or FIFA World Cup finals since declaring independence from the former Yugoslavia in 1991.
However it is far from a pushover, notching wins over the likes of Wales, Bulgaria and Denmark in recent years.
The nation faces a struggle to progress from a tough EURO 2016 qualifying group featuring Spain, Slovakia and Ukraine, with Tuesday's match coming two days after its crucial qualifier against Belarus.
FYR Macedonia's players are scattered in leagues around Europe but aren't a totally unknown quantity to Australia, with defender Daniel Georgievski playing for A-League club Melbourne Victory this season.
Socceroos striker Tomi Juric played against striker Besart Abdurahimi during a stint in Croatia in 2012 and warned he posed a threat with his pace and skill.
"They're not going to be an easy side," McKay said.
"We're not going to go there thinking we're going to kill them but we're going to work hard and try and improve on our past performances."
The nations are meeting for the second time after a 1997 trial in Skopje, which Australia won 1-0 courtesy of a late Aurelio Vidmar goal.