3 steps (post-resume/cover letter submission):
1) Problem Solving Test (math, charts, reading comprehension, very simple business concepts) & group case (check to make sure you don't have a horrible personality). Victor Cheng's online practice tests weren't very helpful, but the videos that came packaged with that are.
2) 2 interviews (~30% fit, ~70% case). The fit portion was much deeper than I expected, more details expected to be presented than I had prepared. You'll spend the entire ~20 minutes talking about ONE activity/challenge/event, and what YOU did. Don't expect a resume walk-through. Expect quotes from interactions "what'd you think?" "How'd they react?" "What did others in the group think?" "How did you convince them?" "How did you feel?". Cases were simple - same thing you can expect based on multitude of case books available on the interwebz.
3) 3 interviews, same (~30% fit, ~70% case). Fit same, case same with the following exception you'll see below. If you've read up on consulting interviews, partners sometimes throw a wrench into the case portion (perhaps on purpose, a stress test). Normally, you get standardized cases, pre-made charts, prompts that have been rehearsed and vetted dozens of times. Well, a partner may lead instead with "let me tell you about a case I did ~15 years ago". Not much background, no pre-made charts, etc. Whoo boy. Structure and organization wants to jump out the window - don't let it! Clarification and organization are key. Don't allow yourself to get flustered, or confused. If you're not answering questions properly, don't stay silent, let them know what you're thinking and why you're thinking it. They may try to stress you more (mine changed the fixed/variable cost ratio halfway through - at that point my mind was already gone). Oh, and always start off with the baby steps. Just because you know profit = revenue - costs, revenue = volume * price, costs = fixed + variable (and of course, who at this point doesn't know that), doesn't mean that THEY know that you know that. They need to see that basic level of structure, even if you've already skipped to drivers of revenue or cost.
Good luck!
Oh, and disappointingly, feedback from third round was "meh". Very general, not much actionable. One makes it to the final round of McK and goes "alright, I may not have grabbed this brass ring, but getting here means I'm sooooo close to a different brass ring". Well, they say candidates find feedback to be valuable in obtaining other jobs regardless of the McK outcome. I didn't find that at all, disappointingly. Everything prior to that was positive, but to get a "no offer" plus nothing that'll help me develop was a rather disappointing conclusion.