Duncan McGillivray was inspired by the explorations of Alexander Mackenzie who, although he travelled extensively following the Mackenzie River to the Arctic Ocean and travelling across the continent to the Pacific, had failed to find a navigable river which reached the Pacific Ocean. McGillivray's family was one of the important stockholders in the North West Company. Duncan joined the company in 1788 and met David Thompson the following year. McGillivray was determined to find the source of the Columbia whose mouth was explored by Captain Vancouver's party in 1792. He felt strongly that the future of the North West Company lay on the western side of the Rockies.
In November of 1800, McGillivray and David Thompson rode south from the recently established Rocky Mountain House. The mountains were, "everywhere covered with snow," and seemed to, "present an impenetrable bank." After passing the present site of the City of Calgary and travelling south to the Highwood River, they rode west up the Bow Valley as far as what is now Mount McGillivrayDoor Jamb Mountain). They described this ascent as steep with many small stones which gave way to more solid rosk as they got higher, but this had sharp points, "like an enormous rasp" which cut our shoes, socks &c all to pieces in a trice." (Place of Bows -Hart) But it was late in the season and not practical to travel farther up the valley to search for a pass into the headwaters of the Columbia. After further explorations west of Rocky Mountain House McGillivaray returned to Rocky Mountain House for the remainder of the winter. In the spring, he was too ill with rheumatism to carry on his explorations and he returned to the East on crutches.
Duncan McGillivray was highly regarded by David Thompson and others in the North West Company for whom they were exploring in 1800. Evidence of this is that on the map of western Canada which Thompson made following his travels he referred to all of the Rocky Mountains south of the Saskatchewan River as "Duncan's Mountains."