McKinley and Bradley split in 1942 and McKinley formed his own band, which recorded for Capitol Records. The McKinley band was short-lived. When McKinley broke up the band, he joined Glenn Miller's Army Air Force band, which he co-led with arranger Jerry Gray after Miller's disappearance in December 1944. Upon being discharged at the end of the following year, McKinley formed an excellent, remarkably modern big band that featured a book of original material by legendary arranger Eddie Sauter (along with a helping of novelty vocals by the leader). Sam Butera, later of the back-up band for Louis Prima was also a member.