Oscar Garcia stepped down from the role on Monday, only 27 days after being appointed as Giuseppe Sannino's successor.
The Spaniard took charge of just one game due to ill-health - a 1-0 defeat to Charlton - and said his decision to resign was in the club's best interests.
McKinlay will take to the dugout, having only been brought to the club on Friday, and admits he will have to keep his sentiments in check at Vicarage Road.
"I had mixed emotions. It was Oscar who brought me here. I was 100 per cent shocked," McKinlay told BBC Radio.
"I know he has been recovering well and I expected that recovery to continue and he would be back in business as soon as possible. So it's bittersweet almost."
The Scot - who left Fulham after several years in the backroom staff at Craven Cottage in December 2013 - will hope to continue Watford's strong start to the season.
Five wins from nine games have helped Watford to fourth, and they host a Brentford side who have won two and lost two of their away games since promotion to the second tier.
Top of the Championship after nine games is where Norwich City find themselves, with manager Neil Adams performing admirably after last season's relegation from the Premier League.
Charlton Athletic will make the trip to Norfolk in midweek yet to taste defeat in the league under Bob Peeters, though they have drawn all four of their away games.
Norwich strikers Lewis Grabban (six) and Cameron Jerome (five) have been among the goals so far, both sitting in the scoring chart's top five.
Second-placed Nottingham Forest will visit a Wigan Athletic side sliding towards the drop zone after four games without a win, while Wolves lie in wait for any slip-up from the top two facing a visit of Huddersfield Town on Wednesday.
Creative midfielder Jonny Williams' arrival for a second loan spell from Crystal Palace will boost Ipswich Town ahead of the meeting with Sheffield Wednesday at Hillsborough with Blackpool also boasting two new recruits, Andre Blackman and Formose Mendy, as they go in search of a first win of the season at Middlesbrough.
Former Leyton Orient boss Russell Slade is expected to once again be an interested onlooker as Cardiff City continue to chase his signature amid a trip to Brighton and Hove Albion.
Elsewhere, Derby County host Bournemouth, Birmingham City travel to Millwall and Rotherham United welcome Blackburn Rovers.
In Wednesday's other games, Fulham host Bolton Wanderers and Darko Milanic will take charge at Elland Road for the first time as Leeds United tackle Reading.
