MacKay was born the fifth child of Donald MacCrimmon MacKay and Valerie MacKay. His elder brother Robert S. MacKay FRS (born in 1956) is Professor of Mathematics at the University of Warwick. He was educated at Newcastle High School (later Newcastle-under-Lyme School) and represented Britain in the International Physics Olympiad in Yugoslavia in 1985, receiving the first prize for experimental work. MacKay went up to Trinity College, Cambridge and received a BA in Natural Sciences (Experimental and Theoretical Physics) in 1988. He went to the California Institute of Technology (Caltech) as a Fulbright Scholar. His supervisor in the graduate programme in Computation and Neural Systems was John Joseph Hopfield. He was awarded a PhD in 1992.

In January 1992 MacKay was made the Royal Society Smithson Research Fellow at Darwin College, Cambridge, continuing his cross-disciplinary research in the Cavendish Laboratory, the Department of Physics of the University of Cambridge. In 1995 he was made a University Lecturer in the Cavendish Laboratory. He was promoted in 1999 to a Readership and in 2003 to a Professorship in Natural Philosophy. He was elected a Fellow of the Royal Society in May 2009.

MacKay's contributions in machine learning and information theory include the development of Bayesian methods for neural networks, the rediscovery (with Radford M. Neal) of low-density parity-check codes, and the invention of Dasher, a software application for communication especially popular with those who cannot use a traditional keyboard. In 2003, his book Information Theory, Inference, and Learning Algorithms was published.

His interests beyond research include the development of effective teaching methods and African development; he taught regularly at the African Institute for Mathematical Sciences in Cape Town from its foundation in 2003 to 2006. In 2008 he completed a book on energy consumption and energy production without fossil fuels called Sustainable Energy ... Without the Hot Air. Like his textbook on Information theory, MacKay makes this popular book available for free online.

David MacKay was appointed to be Chief Scientific Advisor of the Department of Energy and Climate Change in September 2009 to take up the post on 1 October 2009.

MacKay has an Erd?s number of 2, and is a vegetarian.