The only Brit in action on day one in the next Olympic host city, McKenzie, who claimed European -60kg bronze back in April, was beaten by Yanislav Gerchev.
Both players had three shidos each in the contest before McKenzie, who competed at the London 2012 Olympics last summer, was thrown for two yukos.
There wasn't enough time for the 24-year-old to work his way back and so Britain's charge in Rio began with a defeat in the men's -60kg category.
Next up is Colin Oates in the -66kg, who will be looking for a world medal having finished seventh at the London 2012 Olympics last summer.
- Sports & Recreation