The Scots take on England in an international friendly at Londonâ€™s football headquarters and the former Rangers number one indicated that there is a chance of making it two in a row against the Auld Enemy following their 1-0 win at the old Wembley back in 1999.
"Because it has been such a long time it will be (a big occasion) for the fans and for the players," said McGregor.
"We will be underdogs in every sense of the word. It's how you treat the game and how well you do."
McGregor, who joined Hull from Turkish side Besiktas earlier this summer, will battle it out with Cardiff Cityâ€™s David Marshall and Blackpoolâ€™s Matt Gilks for his 30th international cap.