The 24-year-old midfielder from Fort Lewis, Washington, showed up with the new colors for Sunday night's training session. McKennie, who plays for Juventus in Italy, previously had a streak of blonde in his hair.
The Americans open the World Cup on Monday night after failing to reach the 2018 tournament.
On Sunday, it was also announced that Tyler Adams was named captain for the U.S. at the World Cup after wearing the armband in seven of his 12 appearances in World Cup qualifying.
"It's a huge honor for me, obviously, to be named captain of this team," Adams said. "A very young team, but a lot of credit to my teammates because anyone throughout our leadership council can wear that arm band and represent us with pride and represent us in the right way."
Throughout coach Gregg Berhalter's tenure, the responsibility has rotated between multiple players on the team's leadership council, with Christian Pulisic, Walker Zimmerman and McKennie all having held the role since World Cup qualifying began.
"There was something where the last three and a half years, we've been working with a leadership council and we're very open and we ask them, 'Hey, what do you guys wanna do for the World Cup?' And they thought it'd be better to have a captain named for the World Cup," Berhalter said.
"We're proud to announce Tyler is the captain for the World Cup. We think he has great leadership capabilities, he leads by his actions and his words."
Ahead of the tournament, the team was addressed by President Joe Biden in a short call in which he wished them luck.
"I know you're the underdog, but tell you what man, you got some of the best players in the world on your team and you're representing this country and I know you're going to play your hearts out. So, let's go shock them all," Biden told the team.
"And keep trusting in one another, play as hard as you can for you and your families, your teammates, and the whole country is rooting for you."
Adams, 23, will be the U.S.'s youngest captain at a World Cup since Harry Keough (22 years, seven months, 17 days) in 1950 and and Berhalter's side will be the second-youngest team at the tournament behind Ghana.
"Tyler's a guy that's just matured beyond his years and you notice it from the minute you start talking to him," Berhalter said. "I can go on and on about the strengths of Tyler, but I think the other thing about him is his humility and he's a guy that the teammates know exactly what they're gonna get from him.
Why Tyler Adams is the perfect captain for USMNT
Sebastian Salazar explains why Tyler Adams is the perfect choice to lead USMNT at the World Cup in Qatar.
"They know that he's gonna go out on the field and compete. They know that he's gonna be thinking about the game. They know that he's gonna be into the details of the game. He's not just a competitor, he's also a strategist and I think that helps the group because he calms people down and he's a guy that people get behind."
A day after midfielder McKennie and right back Sergino Dest said they were healthy and ready to play, Berhalter still wasn't ready to proclaim either 90-minutes fit.
"They've made great progress," Berhalter said. "We see them as being able to take part in the game. For how long? We have to see.
"That's part of having five substitutes. They can either come into the game or start them and take them out of the game when we feel that they're getting close to that threshold, but both of them are definitely in position to help this team tomorrow."
Brenden Aaronson, Adams' teammate at Leeds, is the primary candidate to play in central midfield should McKennie be limited, while it's less clear who would replace Dest at right-back with DeAndre Yedlin, Joe Scally and Shaq Moore all options.
FIFA announced Sunday that the U.S.-Wales match will be refereed by Qatari officials, led by Abdulrahman Al Jassim.
Al Jassim refereed three matches at the Gold Cup in 2019, including the Americans' 1-0 victory against Panama. He also refereed the U.S.' 6-0 win against New Zealand at the 2017 U-20 World Cup in the Round of 16, in which Adams, Josh Sargent and Luca de la Torre all featured.
Information from the Associated Press was used in this story.