"I've played at big clubs before and I knew from afar that Hearts are a massive club and the expectations are no different to other clubs I've played for," he said. "When you don't win games, there's obviously talk because you're expected to win every game.
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"As a player, I relish that. I love having that expectation and pressure. That's enough motivation for us to keep going. You can't take your foot off the gas here.
"We expect to win every game and if we don't we're disappointed first and foremost for ourselves. The motivation is always there when you play for a massive club like Hearts."
Mackay-Steven believes Hearts, who travel to Dundee United on Saturday, are now back in the groove after back-to-back 2-0 wins over St Mirren and Aberdeen over the past week.
"After the winter break, we had a little blip where we didn't perform to the levels we know we can," said the 31-year-old. "The St Mirren game was a big one because they weren't too far behind us in the table and they had a game in hand.
"We made sure we won that one and we've now had a couple of good performances and are feeling good.
"You're going to have blips in the season so it's just about making them as short as possible and that you don't get in the habit of losing and drawing games. We just want to kick on again and go on another run because you can also get in the habit of winning and that's the best place to be in.
Mackay-Steven joined Hearts just over a year ago when they were in the Championship and is thrilled by the way things have gone.
"I'm delighted to be here," he said. "It's a great place to play your football. We're going really well in the league and we're still in the Scottish Cup so there's so much still to achieve in terms of the cup and getting European football. It's a good place to be at the moment."