 McKenzie later recalled,
McKenzie appeared in numerous uncredited roles throughout the 1930s, with occasional credited roles in films such as "The Boss Cowboy" (1934) as Sally Nolan, and the anti-cannabis propaganda film "Assassin of Youth" (1937) as Linda Clayton.In 1938, she began to appear mainly in Western films, such as "Ghost Town Riders" (1938) as Molly Taylor (credited as Fay Shannon), and "When the Daltons Rode" (1940) as Hannah.She had a small part in the 1939 film "Gunga Din", which was inducted by the United States Library of Congress for preservation in the National Film Registry in 1999 with the motivation of being "culturally significant".