McKay, who is also the global head of distribution and global chief operating officer, will step down from his duties on 1 April 2018, following nearly 12 years at the firm.
He has served as co-head of the firm alongside the firm's CEO and global chief investment officer Andreas Utermann since March 2016.
The firm has said that after April, McKay will transition into a non-executive vice-chair role.
AllianzGI has brought Karen Prooth on board from BlackRock to succeed McKay as global COO.
Joining the firm officially on 1 November, she has worked at BlackRock for 10 years, most recently global platform head for ETF and index investments. Her nearly 30 years of industry experience also includes roles at JP Morgan Asset Management and Prudential.
The current head of EMEA, Tobias C. Pross, will take over for McKay as global head of distribution from the beginning of April next year.
McKay's former co-head, Utermann, said on his departure: “George has made a tremendous contribution to the global success of AllianzGI over the past 10 years, first as COO for Asia Pacific, then as Global COO and more recently as co-head of the firm.
"Throughout it all we have benefitted from his wisdom, judgement, collaborative spirit and good humour. Naturally we’ll miss his leadership when he steps into a non-executive role next spring. Nevertheless, we are in very good shape with the succession arrangements in place with the appointment of Karen and expansion of Tobias’ role.”