But when he woke up on Thursday he said it finally hit him.
''In the days leading up I wasn't really thinking about it too much,'' McDavid said. ''Kind of when I woke up this morning, I guess that's kind of when it hit me that I'll be playing in my first NHL game. I think that's when I first realized.''
When the Oilers play at the St. Louis Blues on Thursday night, all eyes will be on the 18-year-old McDavid, the No. 1 overall pick in the draft and the most hyped player to enter the NHL since Sidney Crosby of the Penguins made his debut a decade ago.
Speaking in front of a crowd of reporters on Thursday following his team's morning skate, the soft-spoken rookie admitted to having some butterflies but said he felt pretty good and was excited to get going.
''It's just special,'' McDavid said of his NHL debut. ''I'm living out my dream, so there's nothing better than that. I'm just really looking forward to tonight.''
McDavid will be centering the Oilers' second line against the Blues with Taylor Hall on the left wing and Anton Slepyshev on the right. Hall was the No. 1 overall pick in the 2010 draft, while Slepyshev will also be making his NHL debut on Thursday night.
''We all see what he can do in practice and the games,'' Hall said of McDavid. ''It's important to remember he's 18. I'm 23 and I still have bad games. Sidney Crosby is the best player in the world and still has bad games. There's going to be some trials and some errors, but I think that he's in a position to succeed and it's going to be fun to watch him grow.''
Oilers coach Todd McLellan, hired in May after spending seven seasons with the San Jose Sharks, has already gotten accustomed to receiving questions about McDavid.
The first few questions McLellan was asked on Thursday were about the NHL's most popular newcomer.
''What I've found with him is he's working really hard to just be himself and fit in,'' the coach said. ''He doesn't want to be special, he doesn't want to be treated any differently but he obviously is. He's trying to adapt to that and he's doing a very good job of it personally and collectively I think our team has done a good job around him.''
McLellan said there are three levels of pressure surrounding him.
The first is McDavid's individual expectations, which he is sure are extremely high. The second comes from the rookie's teammates, coaching staff, organization and city of Edmonton.
''But where it really changes is the national, international and world-wide eyes being on him,'' McLellan said. ''How does that compare to some of the other players I've been around? I haven't been around an 18-year-old who has had to deal with that. It's new to all of us.
''I did spend some time talking to Sid (Sidney Crosby) about his experience and even since then the world's really changed as far as media and social media and that type of stuff. This is a new adventure for everybody involved. I know Connor has the tools to handle the pressure and we'll do everything we can to help him.''