McKay directs and co-writes (with Will Ferrell) the comedy Anchorman: The Legend of Ron Burgundy. The 1970s-set film stars Will Ferrell as Ron Burgundy, the top-rated newsman in San Diego, and Christina Applegate as the ambitious female anchor who joins his team.
McKay releases an “alternate film” to Anchorman comprised of sub-plots and alternate takes dropped from the original release, starring Ferrell and Applegate in the same roles. In addition to Burgundy’s conflict with Corningstone, the film includes a plot about a group of thieves known as “The Alarm Clock”. The film is not rated.