The actor told Entertainment Weekly that the final episode "really completes the journey" of his character, former rookie cop Ben Sherman.
"He's grown up [and] become a cop and an officer in his own right, and [he's] more confident," said McKenzie. "The gloves are off for Ben Sherman and the world is wide open, and he can go in any number of directions."
His co-star Michael Cudlitz, who plays Sherman's drug-addicted partner John Cooper, added that the cast were hoping to explore their characters further in a potential fourth season.
"I think the show's getting picked up," he explained. "I think it's [just] a matter of for how many [episodes]."
It was previously reported that Laz Alonso will reprise his role as Detective Gil Puente in the season finale.
The third season of Southland will conclude on March 8.