The Saints secured a 2-0 win over Tayside rivals Dundee United in the final at Celtic Park on Saturday to win the cup for the first time in the club's 130-year history.
The win also gave Mackay his first major medal as he lifted the trophy in front of 15,000 St Johnstone fans - something which the 34-year-old veteran described as an "incredible feeling".
"I have had many defeats in my career, many lows, injuries, and many pre-season runs but it has been worth it to finally get my hands on the trophy," the defender told reporters.
"You go up last as the captain and to finally get your hands on the trophy was an incredible feeling, and to see the joy on the faces of the players and fans and family was a great feeling.
"Maybe we rode our luck a little but I think we deserved that bit of luck."
Mackay joined St Johnstone in 2009 from Livingston.