McCallany was born September 3, 1964, in New York City, to theatrical parents. His mother, Julie Wilson (1924–2015), was an American singer and Actress, "widely regarded as the queen of cabaret." His father, Michael McAloney (1924–2000), was an Irish actor and Producer best known for his Tony Award-winning production of Brendan Behan’s Borstal Boy, an autobiographical play about a young member of the Irish Republican Army, which was the first Irish production to win top honors on Broadway.