McKinsey onboarding is great. Usually its the following sequence:
0. If you have a non-business background you get sent for the mini-MBA before you start. It once was 4 weeks, then 3, now I believe it's 2 weeks. The mini-MBA usually happens before you start.
1. Your first week will be in one of the local offices for onboarding. You will
- learn the processes and support McK offers
- receive your equipment
- have intro training for the different software tools
- get to know all your peers and party
2. Once you are on your first project, you are asked to complete a series of online training. Heads-up: Almost no one completes those ;D
3. After 2-3 months, you have another 1-week of training in one of McKinsey's offices or training facilities (Kitzbuehel if you are in Europe). This training is focused more on the daily consultant's life with real problem solving (both on a conceptual level but also related to client communication, etc.).
That being said, most of what you will learn, you will learn in the team room. Constant and implicit learning on the job is where it's at. No matter if you are a newcomer or a veteran after 2 years, you will always find yourself on a steep learning curve. As soon as you barely mastered one skill or the skills needed for one level in the hierarchy, you will take care of things, which are expected from a more senior colleague. This cycle never ends. You are expected to learn on the job, learn from your colleagues, your mentors, sometimes even the client. So basically a newly promoted Engagement Manager has the same 'struggle' as a new-hire Business Analyst. They both need to work in a completely new environment and role.
No book, no training, no coach can prepare you for your first day, your first week, your first engagement. Nothing matches the experience and the learning and this is a good thing (also the reason why ex-McKinsey are valued highly on the job market).
You will learn everything you need to master while doing it. You will be thrown in the cold water and need to swim. However, your colleagues will always be happy to help you and mentor you. And for the rest, you will figure everything out along the way. The key here is always to ask for tips, shortcuts, feedback, etc. Don't be quiet if you get stuck.
Also, for every technical problem (IT, Excel question, etc) McKinsey has a Global Helpdesk and the rule is to call them for every problem you can't solve within 5 minutes. They will fix your computer, guide you through Excel formulas, etc.
Lastly, if you have no domain knowledge about a certain industry or topic, read through the internal library of documentation (which is endless) and call some of the firm experts on the topic. Usually, they are happy to offer you a short call to get you up to speed.