Pyke, who represented his native Canada in rugby union, has gone from an Australian football novice to carrying the Swans' ruck division with aplomb in less than 18 months.
With hype circulating about rugby league star Israel Folau's decision to join the Swans' cross-town rival Team GWS, McVeigh said newcomers to AFL could learn plenty from Pyke's transition.
"Seeing Pykey first-hand, he really wants to learn and that's the first key component. He's always asking questions, always working on his skills every day," McVeigh said at Lakeside Oval on Wednesday.
"He knows he has to do that so if [Folau and Gold Coast's Karmichael Hunt] can have the work ethic of Pykey, it will go a long way.
"I think the hardest thing for [rugby league converts] will be to read the game of AFL. You can work on your skills as much as you like but if you don't know where to run, you won't get the ball. That's going to be the biggest hurdle for them."
McVeigh questioned aloud whether Folau would be worth the reported multi-million dollar salary he had accepted to join Team GWS, but he said it was understandable given the need for the AFL to promote its newest franchise
He added that he wasn't bothered by the prospect of a newcomer to the code being paid well to undertake the same promotional work the Swans had been doing for years.
"We do as much as we can for the Sydney people. We try and put our brand out there all the time. We do speak to the kids, we do a lot of clinics and we want our supporters to stay with us," McVeigh said.
"[Team GWS] are going to be our enemies and of all the AFL teams, so we'll be fighting as much as we can to keep our supporters and members with us.
"We want the game to grow. We want more players playing the game of AFL and that's what we're trying to promote. With two teams in the next few years, we'll be doing that.
The Swans tackle Essendon at the SCG on Sunday and McVeigh will line up against his brother, Bomber defender Mark, for the first time in two years after he missed the Swans' 35-point loss in round 15, 2009 through injury.
Both brothers said it was a special day for them and their family, and Mark added that prospective AFL players in Sydney could do worse than model themselves on his younger brother.
"He's certainly someone that young players at the Sydney Swans - and young people in Sydney in general, and NSW - should look up to and understand how hard you have to work to play AFL footy," he said.
"There's been probably a shortage of AFL footballers coming out of NSW and we need to turn that around now.
"If they can look at Jarrad at the Swans and emulate what he's done to get there, I think we can start developing some really good young kids coming out of NSW because there just isn't enough at the moment."
