Saints host Norwegian league leaders Rosenborg at McDiarmid tomorrow night hoping to protect their cherished 1-0 lead from the second qualifying round first leg.
Frazer Wright bagged that crucial away goal in Trondheim but his namesake Tommy - the Saints boss - still insists the visitors will touch down in Scotland as favourites to progress to a meeting with either Valletta of Malta or Belarusians FC Minsk.
But Mackay is taking a bullish approach to the meeting with Per Joar Hansen's former Champions League quarter-finalists and claims the effort exerted in clinching a European slot with their third-place Scottish Premier League finish last term means St Johnstone will be desperate to finish the job.
He said: "I played a couple of rounds in Europe during my time at Dundee.
We played an Albanian team and then Perugia from Italy, so I've experienced this before. It's not something that comes along too often though.
"We spoke in the changing room before the first game about the fact that we had worked so hard last year to earn the right to be here.
"We don't want it to be over after two games. We want to win a few and make it worthwhile."
In order to march on in the competition, Saints will have to protect an unbeaten European home record that stretches back six games over 42 years.
But Mackay says the more recent events of their win in Norway should give them belief too.
"We have got to take a lot of confidence from last week, we played very well," he said. "For the first hour we were excellent - it's probably the best we played since I have been here possession wise and creating chances.
"We know we can create chances against them so hopefully we can take a couple of them tomorrow.
"It's all about belief. Last week we didn't know too much about them. We had watched videos of them, but they can be misleading. So we didn't know what they would be like.
"But after seeing them we now fancy our chances.
"The manager told us even before the first leg that we were good enough to go through. He had watched them a couple of times and set they are beatable. It's proved to be that way."
While Rosenborg are half way through their domestic league season - leading the Tippeligaen table from Stromsgodset by two points after 16 games - St Johnstone are still a week away from kicking off the new Scottish Premiership with a home meeting against Hearts on August 3.
But Mackay is counting on a winning result against the Norwegians having a positive knock-on effect to their league form.
He said: "I hope we can win and then take that into the league. We have been notoriously slow starters since I have been here.
"Since we came into the SPL, I don't think we have won a game in August.
"Hopefully if we can go through this tie, it will give us a boost and allow us to get off to a flyer against Hearts."