first of all, why are you considering McKinsey only? Even if it is your first choice, it would still make sense to apply to a top 5 range (eg BCG, Bain, OW, ATK, RB) to maximize the chances to receive at least an offer (so far that you receive multiple offers you can then screen them and choose your preferred ones). Thus, first thing you could do is to check if the deadline has passed also for other consulting firms interesting for you.
In terms of McKinsey, if the deadline has passed, you cannot apply anymore for that window; however, they may have a new window already open or opening soon for which you could apply.
So far that you find the deadline has passed for all the firms interesting for you, then your best options to strengthen your CV are the following, in order of priority:
- Apply for a strategy consulting firm, even if not interesting for you long-term, for which you can see from LinkedIn that alumni have been able to move to your target companies
- Apply for a top banking name
- Apply for a strategy role for a major brand
Starting your own business for the sake of reapplying in one year is a risky move, as consulting companies prefer to see previous experience with a top brand or anyway in consulting firms; furthermore, it would be challenging to show impressive results with your own business in only one year.
Hope this helps,