McCaughey started his career with the indie rock band Young Fresh Fellows.
R.E.M.
From 1994 until 2011, McCaughey worked with R.E.M. both on stage and in the studio. “When R.E.M. came to Seattle to work on Automatic for the People, Peter Buck|Peter called me up. He probably didn’t know anybody else in town. We’d go out to eat or have drinks pretty regularly while he was here. And then he ended up moving out here. Once he was here, we started playing together a lot, doing all The Minus 5 stuff." It was McCaughey who introduced Buck to his future wife, Stephanie. Buck invited McCaughey to join R.E.M. on their 1995 Monster tour, initially as a second guitarist. “ said, ‘I wouldn’t ask you if the Fellows were playing a lot.' But the Fellows were not really doing anything; we’d kind of brought it down to a crawl. I told him, ‘Sure, I’d like to try.’ I had to audition because I didn't know the rest of the guys as well as Peter.” McCaughey remained with R.E.M. in various capacities until the band's dissolution. He contributed to the studio albums New Adventures in Hi-Fi, Up, Reveal, Around the Sun, Accelerate and Collapse into Now. Additionally, he has received credits for his work on the live albumsR.E.M. Live and Live at The Olympia album as well as their 2003 greatest hits collection, . When working with R.E.M., McCaughey played guitar, bass guitar, keyboards, and sang backing vocals.
In 2008, McCaughey formed the side band The Baseball Project with Buck, Steve Wynn and Linda Pitmon. Their first album, Volume 1: Frozen Ropes and Dying Quails, celebrates many aspects of baseball culture, and includes a song in tribute to Pittsburgh Pirates pitcher Harvey Haddix.
McCaughey also plays in Tuatara, an instrumental group which features Peter Buck from R.E.M.
The No Ones
McCaughey is a member of The No Ones, a jangle pop supergroup. Other members include Peter Buck, Frode Strømstad, and Arne Kjelsrud Mathisen. Their debut EP The Sun Station also features guest appearances by Steve Wynn and Patterson Hood.
Stroke
McCaughey suffered a stroke on November 16, 2017. Two benefit concerts were held in January, 2018, to raise money for McCaughey's medical bills. Artists included Peter Buck, Mike Mills, Bill Berry, Alejandro Escovedo, M Ward, James Mercer, Corin Tucker, the Dharma Bums, the Decemberists, and Patterson Hood. McCaughey recovered substantially from his stroke in 2018 and began playing a series of well received shows at venues in Portland, Oregon, where he lives.