Mackay was sacked by Cardiff in late December, following a two-and-a-half year spell which had included a League Cup final appearance and first-ever promotion to the Premier League.
Mackay's departure came after several public criticisms of his management from owner Vincent Tan but, although somewhat restricted by an on-going legal case with the club, the Scotsman told Goals on Sunday he is happy with what he achieved in south Wales.
"I had a terrific two-and-a-half years there and really loved living there and being a part of it with [the fans]. We had a great journey," he said.
"Looking back, I'd change very little. Everything was above board and in terms of staff and players, and the structure of the club and where it was left, we weren't in the bottom three for five months and we had a plan going forward for January.
"There are little things you would tweak but I thoroughly enjoyed my time there. Good people and good memories."
Mackay says he over-achieved during his time at Cardiff - but also revealed Tan's influence grew as the team became more successful and eventually reached the Premier League.
"Everyone's entitled to their own opinion but we arrived at the club and there were ten senior pros and four or five kids there.
"We brought in ten players in that first pre-season. The remit was to stay in the league and we got to the play-offs and the Carling Cup final, which was seen as an over-achievement.
"The three-year plan was then revised and made into a two-year plan and they said 'right, ok, now get promoted'. And that's what we did.
"The Championship is a tough struggle and you're battling against a lot of good teams but we managed to get promoted. It was the first time in 50-odd years that the club had been promoted [to the top flight]. You could see the city was ready for it and the infrastructure was there.
"[Tan's influence] grew over the period of time. Initially Tien Ghee Chan, who was the chairman and a really top guy, allowed the board of directors and our Welsh chief executives to run it over the first year-and-a-half.
"The owner's interest was piqued after the Carling Cup final and it grew from there. Certainly in the last year-and-a-half there was much more interest from him rather than in the first year I was there."
During the final weeks of Mackay's tenure it became apparent his job was in jeopardy, however, despite the pressure on him he says his priority remained winning matches for Cardiff City and doing everything he could to keep them in the Premier League.
"The most important thing was the team surviving in the Premier League and putting a team out on a Saturday that would be competitive," he said.
"I never lost focus on that through the whole thing. My main objective, for that group of players and ultimately the fans, was to keep our team in the league."