Twice the League Cup, in its various guises, has spat him out at this most unfortunate stage of the competition, first when his Livingston side lost out to Dunfermline back in January 2006 to a solitary Darren Young penalty, then when the Perth Saints went down to goals from Steve Davis and Lee McCulloch at a snowy Hampden in February 2010. Throw in the worst of the lot, a tame 3-0 collapse to a Jamie Murphy-inspired Motherwell in April 2011, and few are better versed than Mackay in the uniquely raw disappointment of the last-four defeat.
"I've lost one Scottish Cup semi-final and two League Cup ones," the 33-year-old full back said. "I remember losing to Rangers at Hampden in the snow. The one that really sticks in the throat, though, was the Motherwell one where we lost 3-0. We were three down within 15 minutes and it is tough when you know you have blown it at such an early stage - you know you're never going to get back in. And it was a time we weren't scoring many goals anyway.
"We need to make amends for that, I think, for the fans especially because they came down in their numbers that day and we just never turned up," he added.
"Just to get to a cup final with this club would be huge. We have been to quite a few semi-finals and never quite managed to get over that hurdle. The fans have been long suffering in that regard and it would nice to give them a big day out. I'd imagine they would really come out for Hampden if we got to a final. For the semi we might take 4000 to Tynecastle but if they don't turn up for a cup final they are never going to turn up, are they?"
St Johnstone, famously, have never won any major titles in their history - for this analysis, the League Challenge Cup is omitted - but they may never have a better chance. First, they have a Tayside derby against Dundee United on Monday night to get out the way, but for once the challenge from Celtic and Rangers lies in tatters. Beat Aberdeen this Saturday at Tynecastle, and they will be regarded in most places as the favourites for the trophy. Not that, under Mackay's old manager Derek McInnes, that will be an easy task.
"I always thought Aberdeen were the kind of club that would be ideal for Derek, because they were underachieving," said Mackay. "Knowing the kind of manager he is, I knew he would go in there and shake things up a little bit and I am certainly not surprised by how well they have done this season. He is just a good manager, he has a knack for it. He is a good motivator, who gets the players going, and the first thing he did was get them organised, as you can see with the number of clean sheets they have been having."
It was McInnes who signed Mackay from Livingston in the summer of 2009, after having done the hard yards when restoring the Perth side to the top division a year earlier.
But for all the mutual appreciation and bonhomie, failure to address the Pittodrie side's yearning for a cup win won't exactly be great for his former manager's hopes of building a dynasty.
"There will be more pressure on Aberdeen," Mackay said. "Their fans demand getting to cup finals and trying to win trophies. I know they are desperate for it and it has cost a couple of managers their jobs in recent times. I hope we can use all that to our advantage. It's about time we turned up and performed in a semi-final. It's a box that remains unticked for us."
Mackay for one feels his side's best hopes rest squarely on the broad shoulders of Stevie May, already beyond the 20-mark this season.
"There haven't been too many St Johnstone players who have achieved that over the years," said Mackay. "God knows how many goals he could score. With the run he is on just now everything he seems to be touching is going in so long may that continue. Let's hope he keeps one for the semi-final. Or more than one…"