The former Essendon midfielder won the role ahead of Jaymie Graham, Murray Davis and James Hird - who McVeigh says is top of his list of potential assistant coaches.
McVeigh, 45, faces a daunting task of attempting to develop a young team that won just two games this season while managing the weight of Essendon fans' expectations.
"I don't like to talk about pain. I think today is about a new era," McVeigh said.
"Our playing group should feel excited. There is a significant amount of pressure that comes with playing with Essendon. We know that. We'll embrace that. We'll embrace what comes at us."
McVeigh said supporters needed to know Essendon would compete each week, and had simple early pledges.
"We'll create a new game plan," he said.
"We'll enhance our player development really quickly, and we'll connect as a club and a group."
Essendon famously haven't won a final since their 2004 elimination final - and a quick fix isn't likely.
"In three years' time we should be tracking in the direction that we all want to be, and that's towards finals. But there's some significant challenges with that," McVeigh said.
"We're going to be a young team even next year ... we need to make sure that those players that hopefully come through the draft that come into our footy club, and the players that are here now, continue to be educated.
"They're going to go to work on their footy IQ. They're going to get back in the classroom and they're going to learn."
Essendon have plenty of young talent, including Nate Caddy, Isaac Kako, Sullivan Robey, Dyson Sharp and Jacob Farrow.
More will arrive via the draft, including the No.1 pick.
"What we need to do really quickly is educate our younger players around development," McVeigh said.
"So we want to see our players come into a program where they are learning the game really quickly. We need to sit down with them.
"They need to come in and feel safe in our environment, and then we need to deliver on-field."
McVeigh is determined to win over the divided Essendon supporter base - including those who wanted Hird as coach.
"We need to surround our players with the best staff we possibly can, and we'll go to work at that," he said.
"They need to be coached hard and coached well.
"So I hope in the next few weeks, months, that our supporters that perhaps aren't aligned with us right now, see some great change."
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