In February 2021, McKinsey & Company agreed to pay $573 million to settle investigations by 47 U.S. states, the District of Columbia, and five U.S. territories into its consulting work for opioid manufacturers, including Purdue Pharma. According to the state attorneys general, McKinsey advised opioid companies on strategies to increase sales while the opioid crisis worsened. As part of the settlement, McKinsey agreed to fund opioid treatment, prevention, and recovery programs and to publicly release internal documents related to its opioid consulting work. McKinsey stated that the settlement resolved the investigations without any admission of wrongdoing or liability.

In December 2020, McKinsey & Company announced that it would voluntarily repay approximately R650 million (about US$40 million) earned from consulting projects involving South African state-owned enterprises, including Transnet and South African Airways. The firm said it made the decision after reviewing evidence presented to South Africa's Judicial Commission of Inquiry into State Capture that raised further concerns about the role of its former business partner, Regiments Capital. McKinsey stated that it had no wish to benefit from contracts that may have been tainted and acknowledged errors of judgment, while also stating that the Commission had not implicated any current McKinsey personnel in corruption or impropriety.

On December 13, 2024, the U.S. Department of Justice announced that McKinsey & Company agreed to pay $650 million to resolve criminal and civil investigations into its consulting work for Purdue Pharma, the manufacturer of OxyContin. According to the DOJ, McKinsey advised Purdue on strategies to increase OxyContin sales, including a 2013 engagement that recommended ways to "turbocharge" sales. Under a five-year deferred prosecution agreement, McKinsey agreed to pay financial penalties, cease advising clients on the marketing, sale, or promotion of controlled substances, and implement enhanced compliance measures. The DOJ also announced that a former McKinsey senior partner agreed to plead guilty to obstruction of justice after destroying records related to the investigation.