However, McShane's character didn't last long, meeting his maker at the end of the episode in true Game of Thrones style.
Talking to Entertainment Weekly, McShane - a veteran character actor who normally plays gnarly crooks and villains - revealed why he took on the short-lived role.
"[Brother Ray]'s an ex-warrior who's grown tired of the murdering life and trying to lead another kind of life," McShane told EW. "It was one episode, for a start, which is why I wanted to do it. Obviously, he's going to die. But when I read it, it's nice.
"I think my main use was to re-introduce a character people thought was long gone and who needed some humanity. The Hound has not been shown much humanity in his life, and he gets a little from Brother Ray and carries that forward into his character, which makes it more interesting for those who watch him."
McShane says shooting his death scene, in which he was found hanging by The Hound, was "easy".
"It's very easy. You just have to hold your breath for 10 seconds and look sufficiently dead for them to get it."
McShane also hinted at what might come next for fan-favourite The Hound.
"I don't know what happens in the next episodes. But if they're following the Western code, he'll seek to avenge me, then continue his life in a different way."
The actor caused a stir earlier this year when he commented on fan reaction to potential spoilers.
"You say the slightest thing and the internet goes ape," he told The Telegraph in March.
"I was accused of giving the plot away, but I just think, 'Get a f***ing life'. It's only tits and dragons."