The Northern Ireland international spent last term on loan with Scottish Premiership side Dundee United, where he scored 13 goals in 35 games.
He moved to the Latics from Inverness Caledonian Thistle in January 2015, but has made only one start for them.
Mckay links up with his national team assistant boss Stephen Robinson, who took charge at Boundary Park last week.
Oldham Athletic have signed striker Billy Mckay from Championship side Wigan Athletic on a season-long loan.