McKenzie carded a 5-under 66, while Day posted a 67 to end at 12-under-par 201. They are one stroke clear of American Joe Daley (68) and second-round leader and fellow Australian Scott Gardiner (70).
'It is good to see us Australians up at the top of the leaderboard,' Day said. 'But even though David is a good friend of mine, I still want to win this and take home the trophy.'
The 201 total for McKenzie and Day established a new 54-hole scoring record. The old mark of 203 was first set by Andrew Johnson and Matthew Jones in 2005, then matched last year by Bradley Hughes.
McKenzie was the first to get to 12-under. He opened with a birdie on the first, but gave that stroke back as he bogeyed the par-4 fifth. A birdie at the eighth helped McKenzie make the turn at minus-8.
The 39-year-old McKenzie ran off three birdies in a four-hole span from the 12th to grab a piece of the lead at minus-11. McKenzie closed with a birdie at the last at StoneWater Golf Club to post 12-under.
'It wasn't a fantastic ball-striking today,' admitted McKenzie, who did hit 13 of 14 fairways and 17 of 18 greens in regulation. 'I didn't hit it out of play, but it is not like I was knocking down pins. I didn't hit a lot of close ones, but I made a bunch of putts.'
Day tripped to a bogey at the first, but came right back with a birdie on two.
'The first hole has been giving me grief all week,' stated Day. 'I felt pretty good today. I had a little hiccup on the first hole, but the rest of the round I hit it great.'
Birdies at six and eight moved Day into a logjam atop the leaderboard at 10- under.
The 19-year-old Day reeled off seven straight pars from the ninth. He converted a birdie try at 16, then matched McKenzie's birdie on 18 to grab a share of the lead.
Brock Mackenzie shot 3-under 68 to end at 10-under-par 203. He was joined in a tie for fifth by James Driscoll (70) and Kris Cox (69). Willie Wood, Arjun Atwal and Keith Nolan were one stroke further back at minus-9.