McGregor spent seven seasons in charge at the Dragons and was one of several individuals linked to the Knights head coaching job due to their poor form at the start of the year.
Per News Corp, McGregor has finally revealed that he never sat down with Knights club officials for talks regarding him to take over from O'Brien.
The revelation doesn't mean that the former Dragons coach doesn't want to return to the NRL as a head coach. However, he is happy it isn't at the expense of O'Brien.
“I am happy for him,” McGregor told News Corp.
“I was in that position. We went from leading the comp for 20 rounds to being sacked 14 months later.
“That is how it rolls - if you don't win, you don't go anywhere. I am happy for Adam. I am glad he is doing well.”
After falling to the 14th position on the NRL ladder earlier in the season, Adam O'Brien was nearly shown the door by the Knights, but in remarkable fashion, he turned around the season, which has seen the club reach the semi-finals.
As they go up against the New Zealand Warriors on Saturday, a victory for the Knights would see them equal the club's record for most consecutive wins.
This has caused the Knights to reportedly offer O'Brien a bumper contract extension deal that would see him overtake Michael Hagan as the Knight's longest-serving coach, per News Corp. He is set to be offered a two-year extension that will see him in Newcastle until the end of 2026.