The Scot has been out of work since being dismissed by Cardiff City last December, amid a much-publicised falling out with the club's owner Vincent Tan.
Mackay was thought to be on the verge of replacing Tony Pulis at Crystal Palace in August, but he was subsequently reported to the Football Association over claims he exchanged inappropriate text messages with Cardiff's then head of recruitment Iain Moody, which were allegedly of a racist and sexist nature.
However, the 42-year-old has since vowed to clear his name and make a return to football management, and his opportunity could come at Wigan, who sacked Uwe Rosler last week with the club languishing in 22nd position after 17 matches.
"I can confirm Malky Mackay has applied and we will speak to him. I believe he deserves a fair hearing," Wigan chairman Dave Whelan is quoted as saying by The Telegraph.
"We've had over 20 applications and started interviews on Tuesday. Hopefully we can make an appointment before the game this weekend against Middlesbrough.
"It's an important job and I don't like to mess around when I think I've got the right person."
Chris Hughton, sacked by Norwich City in April, has also been linked with the club, as has former Wigan boss Paul Jewell, who led the club to the Premier League in the 2004-05 season.
Rochdale manager Keith Hill has also been touted.
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