McCray logged three snaps on defense and nine on special teams during Sunday's preseason game against the Bengals.
McCray (hamstring) is doing individual work during Thursday's practice, Mike Rodak of ESPN.com reports.
McCray did not participate in Sunday's practice due to an undisclosed injury, Joe Buscaglia of WKBW.com reports.
The Bills signed McCray to a reserve/future contract Wednesday.
The South Florida Sun-Sentinel confirms Kelcie McCray is "in the mix" for the Dolphins' free safety job.
McCray went undrafted in 2012 and spent his entire rookie season on injured reserve, but the Dolphins are counting on him to take a big step forward now that he's finally healthy. There aren't any other current options after Miami didn't address safety in the draft. McCray will compete for a starting role with Chris Clemons and Jimmy Wilson in training camp.
Dolphins coach Joe Philbin is "excited" about second-year FS Kelcie McCray.
A 2012 minicamp star, undrafted rookie McCray missed his entire first season with a broken foot. McCray goes 6-foot-2, 202 and ran 4.55 at last year's Combine. He could push Chris Clemons for Miami's free safety job this summer.