"We've been back [in New Zealand] for about nine years but during that time we've been backwards and forwards quite a bit."
Mr McClay said the family still had a lot of friends over there.
"So far thankfully all of them are okay.
"Belgium was an incredibly welcoming and open country, and it was upsetting that the very people they had welcomed were those carrying out such atrocities.
"For those who have been most welcome to turn around and commit these atrocities..."
Mr McClay said those back in Belgium were very concerned, and had been worried about attacks following the Paris attacks when they were put into lockdown.
"They have a heightened sense of anxiety."
"It's a very, very challenging time but the Belgium people are very, very strong. They have come through adversity before."
He said Brussels was known as a meeting place of the minds of the world, where leaders worked to make people's lives better and more prosperous and the city epitomises the free movement of people.
"The people that have committed these terrible crimes actually want to oppress and stop this openness."
Mr McClay said the attacks wouldn't stop him from carrying out his job as Minister of Trade, which involved a lot of overseas travel.
"There is always a lot of thought put into safety."