He returned to Torquay as a trialist on 30 July 2001, but along with most of the many players Roy McFarland considered during the round of pre-season friendlies was released without earning a contract. In November 2001 he joined Montrose as a trialist, making his debut in the 1–1 draw with Stirling Albion at Forthbank on 10 November and scoring two weeks later in the 2–1 win over East Fife. Although linked with a return to England to have another attempt at breaking back into full-time football, he signed a deal to stay with Montrose until the end of the season in December 2001. He remained with Montrose until joining Raith Rovers for a second time in January 2003. McKinnon moved to Lochee United in 2004, before leaving in July 2005 to take up a player/coach position with Broughty Athletic. McKinnon returned as Lochee manager in 2006. He was linked with the managerial posts at both Brechin City and Montrose in December 2008, with Lochee stating their desire that he stay until at least the end of their run in the Scottish FA Cup. On 16 July, McKinnon was appointed the new Technical Development Officer with the Scottish Football Association. He replaced Mark McNally, who became assistant manager at Scottish First Division club Morton. McKinnon was appointed manager of Scottish Second Division club Brechin City on 9 October 2012. On 23 May 2015, it was confirmed that McKinnon had been appointed manager of Raith Rovers. McKinnon guided Raith to fourth place in the 2015–16 Scottish Championship, qualifying for the promotion playoffs. He resigned on 11 May, after entering discussions with Dundee United about their managerial vacancy. On 12 May 2016, Dundee United announced that they had appointed McKinnon as their manager on a three-year contract. In his first season in charge, United won the 2017 Scottish Challenge Cup Final, beating St Mirren 2-1. They went on to finish third in the Championship and qualified for the promotion playoffs. They progressed to the final by beating Morton and Falkirk, but lost 1–0 to Hamilton in the final. United sacked McKinnon in October 2017, after losses to Livingston and Inverness left them in fourth place. McKinnon was appointed manager of Scottish Championship club Greenock Morton on 30 May 2018, and he appointed long-term deputy Darren Taylor as his 'first team coach'. The first match of his reign as Morton manager was a 0–0 draw in a friendly away to Forfar Athletic.