She called out to ask if she was being filmed, but McKay said he'd just dropped something.
The "understandably angry" woman got dressed before approaching him and confiscating the camera.
After he stopped her trying to view the four videos she returned to her barracks with the camera.
McKay followed her and asked if the films had been deleted and whether he could have his camera back.
The woman said she was keeping the camera and would be making a complaint to military police.
When he was interviewed under caution last October McKay admitted making the films.
The court martial today heard that "he did not know why" he was making the videos, except that he was "getting excitement at doing something he should not be doing".
One clip was 16 seconds long, one was 9 seconds, and the other two were aborted attempts at just one second each.
He admitted what he did was wrong, the court martial heard.
Through McKay's lawyer Lt Colonel Philip Bellamy, McKay applied for final name suppression.
But Judge Hall rejected the argument and today McKay can be named for the first time.
A victim impact statement recorded that the woman was still very upset by the incident, and now "unable to trust males".
A defence character witness - a long-time colleague and friend of McKay - said he was "shocked" to hear of his fall from grace.
"If I'd heard about it from someone else, I'd never thought it was him," he said.
He described McKay as a "diligent soldier", safety conscious and courteous: "Everything you'd expect of your own friend."
Captain James Kennedy-Good said the incident was "absolutely contrary to the those and values" of the New Zealand Defence Force.
McKay had abused his position of trust, which means he could never lead troops again, Captain Kennedy-Good said.
He'd expressed remorse, written a letter of apology to his victim, and offered to pay emotional harm reparation, an offer rejected by the victim.
Lt Colonel Bellamy said McKay had been suffering from diagnosed severe depression at the time of the incident and has since received treatment.
"He was not his normal self," he said.
But McKay, who has no previous convictions, accepted he was "deeply disappointed in himself" and that he should no longer work at the Defence Force.
After two-and-a-half hours of deliberations, a panel of nine military members and Judge Hall decided on McKay's sentence.
Judge Hall delivered the sentence, which included McKay being "dismissed from Her Majesty's service" and fined $2000.
"What you did was the antithesis of the Army and the New Zealand Defence Force," the judge said.
