Educated at King Edward VII School, McKenzie was a promising junior cricketer, captaining the South African Schools and Under-19 sides. McKenzie is married to one of the most famous South African models, Kerry McGregor. His sister, Megan, is also a leading model in South Africa.

With better form in international arena, a further development as a result of his recall was that Somerset announced that it was unlikely that McKenzie would return to the club for the 2008 season, having played in 2007 as a Kolpak player. It was subsequently announced that he would play part of the 2008 season for Durham as an overseas player.

In January 2010, McKenzie joined English county side Hampshire as a Kolpak player for the 2010 County Championship. On 5 August 2011 McKenzie hit his career best first-class score of 237 in a County Championship match against Yorkshire. Not only did he make his highest score, but during his innings a number of records fell. Himself and Michael Carberry set a new Hampshire record for the 3rd wicket in first-class cricket, setting a partnership of 523 runs to surpass the previous best partnership for the 3rd wicket, which was set by George Brown and Phil Mead in 1927. The partnership with Carberry was also the highest for any wicket for Hampshire, surpassing the 411 set by Robert Poore and Teddy Wynyard in 1899. Their partnership was the 11th time in first-class cricket that a partnership has passed 500 runs, currently ranks 9th on the all-time list.

His Test debut came as an opening batsman in a tour of Sri Lanka but like his father Kevin McKenzie he soon cemented his place in the South African middle order before returning to the side as an opener later in his career. McKenzie made his maiden Test hundred against New Zealand in 2000–01. Another century soon came, against Sri Lanka at Supersport Park but it would be his last for seven years. From there on in he could not convert his twelve 50s into hundreds although he came close when he was run out by Damien Martyn for 99. After a series of low scores was dropped from the side. After showing excellent form in domestic cricket, and due to successive poor performances by opener Herschelle Gibbs, he was recalled to the South African Test squad three and a half years later for the second Test against the West Indies at Newlands. Opening the innings, McKenzie scored 23 before a torn calf muscle meant he was unable to bat in the second innings and would miss the third Test of the series.

During a test against Bangladesh begun on 29 February 2008, McKenzie was involved in a world record 1st wicket partnershi