McPherson began his football career at Gartcosh United before starting his professional career with boyhood favourites Rangers in 1980, breaking into the first team while still a teenager. His impressive form ensured he achieved Under 21 recognition, as well as a place in the Rangers 1st team, by 1983. However, by their own high standards, Rangers were enduring a mediocre spell limiting McPherson's initial success while at Ibrox to one league title and two League Cups.
The revolution brought about by the arrival of Graeme Souness (and numerous new signings) at Rangers led to McPherson being deemed surplus to requirements, and he was sold to Hearts for £325,000 in 1987. He soon became a regular in the Tynecastle line-up, helping Hearts achieve regular high league finishes while enhancing his own reputation. Within two years he became both a Scotland international and club captain. However, despite several close calls, the Jambos were unable to break their trophy famine, and when debts began to rise, McPherson, by then the club's most valuable asset, was sold back to Rangers in 1992, for £1.3m.
McPherson's second spell at Rangers was much more successful than the first, as he helped Walter Smith's dominant side achieve the treble in 1992–93, then a double in the 1993–94 season. The flipside to this success though was the continual arrival of internationally renowned players competing for positions and McPherson again found himself relegated to the bench by 1994.
Financial troubles at Hearts dictated McPherson's next move, as he returned to the Edinburgh club in part exchange for Alan McLaren, Rangers also paying Hearts £1.25m. By now approaching the veteran stage, McPherson played an important role in nurturing Hearts' next generation of defenders such as Paul Ritchie and Gary Locke. He also helped the club to victory in the 1998 Scottish Cup, their first silverware in 36 years.
After leaving Tynecastle in the summer of 1999, McPherson wound down his playing career in Australia with Carlton S.C. in Melbourne.
McPherson was first selected to play for Scotland against Cyprus on 26 April 1989, a match Scotland won 2–1 at Hampden Park. Despite remaining a relative novice at international level, he was selected in the Scotland squad for the 1990 FIFA World Cup, appearing in all three group games as Scotland just missed qualification for the knockout stages. McPherson's solid performances resulted in him then becoming a fixture in the national side, missing only one qualifying game as Scotland reached the 1992 Euro Championships. He started all three group matches in Sweden but again Scotland failed to qualify for the knockout stages.
McPherson's international form began to waver the following season, though, and when Scotland were thrashed 5–0 in a World Cup qualifying game in Lisbon in April 1993, the Scottish press and public called for radical surgery. McPherson was one of several older players to be dropped, never to play for the national side again.
McPherson's height (6 ft 3) ensured he was a commanding presence defensively, as well as a potent attacking weapon, both as a goalscoring threat and a targetman for flick-ons. Despite his stature he was also quite an adept dribbler, and his sporadic runs from defence were renowned, particularly when playing as part of a three-man central defence with Hearts. This ability also led to him sometimes being deployed at right-back, as opposed to his usual role as a central defender. These runs were used to devastating effect in big matches, such as the 3–1 victory over Celtic in November 1991, and the classic 4–2 victory over Rangers during the Scottish Cup tie at Tynecastle in February 1995.
McPherson moved into coaching in 2001, when appointed assistant-manager to Peter Cormack at Greenock Morton. When Cormack left Cappielow, McPherson was promoted to player-manager, however he was surprisingly sacked after only 13 games, despite the club being three points from the top of the league.  He has since developed a career in sports management. Inaugurated into the Rangers Hall Of Fame 2014.