Nelle McKay was born in London, England to a Scottish writer/director, Malcolm McKay, and an American actress, Robin Pappas. At the age of two, after her parents split, she moved with her mother to New York City, where they stayed until 1994. After one year in Olympia, Washington, the two returned back East and lived in the Poconos, where McKay spent her high-school years.
In 2000, McKay started attending the Manhattan School of Music, but, bored and unsatisfied, dropped out after two years. She started performing as a stand-up comic in Manhattan clubs, and eventually Greenwich Village's gay bars.
In February of 2003 Nellie opened for the Trachtenburg Family Slideshow Players at Tonic, on New York's Lower East Side. Jay Ruttenberg, from Time Out New York magazine, attended the show and wrote a prominent feature on McKay. Shortly afterwards, several record labels contacted her and started a bidding war. She eventually signed with Columbia/Sony and started producing her first record in the late summer of 2003.
Her music has showcased different genres from jazz to rap and disco to funk. Her eclectic style and sharp lyrics distinguish her as an original voice. Her songs sometimes have a political tinge; she "is a proud member of PETA" (album notes), wrote a song ("Columbia Is Bleeding") dealing with the issue of Columbia University's cruelty to animals, and ("John John") about her feelings in favor of political candidate Ralph Nader as well as performing concerts as benefits for WBAI.
Her critically acclaimed first CD, Get Away from Me, was produced by Beatles sound engineer Geoff Emerick and released by Columbia/Sony Records in February 2004. The title is a play on Norah Jones' Come Away with Me and expresses her dissatisfaction with modern jazz. McKay is said to be the first woman to release a double album as her first release. Originally, her contract with Columbia called for 13 songs, but McKay aggressively lobbied her label for a double album, including bottles of wine, a Powerpoint slideshow, and a mock photo of her threatening Emerick with a gun. The studio agreed, but McKay had to underwrite production costs of the five additional tracks with $25,000 of her own money. Although all the music would fit on a single disc, McKay insisted on a double disc debut to "reclaim the feeling of flipping over a record" (All Music Guide). Nellie McKay was one of the major breakout artists from the 2004 SXSW Festival and was a finalist in the 2004 Shortlist Music Prize, and Get Away From Me was on several "Best of 2004" lists.
Pretty Little Head was originally set to be released October 18, 2005. The release date was delayed; initially, the rescheduled date was December 27, 2005; it was then subsequently announced that the release date would be January 3, 2006. However, McKay announced on December 19, 2005, that she had left Columbia/Sony Records after a dispute over the length of the upcoming album.Just over two weeks following this announcement, a New York Times article surfaced stating McKay said she had been dropped by Columbia Records.