McCaughey comes to Australia with an uncle, Charles Wilson, a brother of Sir Samuel Wilson, and lands at Melbourne in April 1856. He immediately goes to the country and begins working as a jackaroo. Within three months he is appointed an overseer and two years later becomes manager of Kewell station while his uncle is on a visit to England.
In 1860, after his uncle’s return, McCaughey acquires an interest in Coonong station near Urana with two partners. His brother John who comes out later becomes a partner in other stations.
During the early days of Coonong station McCaughey suffers greatly from drought conditions, but overcomes these by sinking wells for artesian water and constructing large tanks, making him a pioneer of water conservation in Australia.
In 1871 McCaughey is away from Australia for two years on holiday, and on his return does much experimenting in sheep farming. At first he seeks the strains that can produce the best wool in the Riverina district. Afterwards, when the mutton trade develops, he considers the question from that angle.
In 1880 Sir Samuel Wilson goes to England and McCaughey purchases two of his stations, Toorale and Dunlop Stations, during his absence. He then owns about 3,000,000 acres. In 1886 he again visits the old world and imports a considerable number of Vermont sheep from the United States and also introduces fresh strains from Tasmania. He ultimately owns several million sheep, earning the nickname of “The Sheep King.”
In 1900 McCaughey purchases North Yanco and, at great cost, constructs about 200 miles of channels and irrigates 40,000 acres. The success of this scheme is believed to have encouraged the New South Wales government to proceed with the dam at Burrinjuck.
McCaughey becomes a member of the New South Wales Legislative Council in 1899, and in 1905 he is made a Knight Bachelor. He suffers from nephritis and dies from heart failure at Yanco on July 25, 1919 and is buried in the grounds of St. John’s Presbyterian Church in Narrandera. He never marries.