As I was an experienced hire who was internally referred, I think my experience was a bit more personal.
The folks at McKinsey wanted to make sure that I was familiar with their problem solving style of interviewing and gave me a lot of time to practice. A personal coach was assigned to me who spent a lot of time preparing me for the case study style of interviews. Then I had a trial interview with one Principal. This turned out to be a total disaster, I was nervous and not my normal self.
Despite that, I got some more coaching and was given another chance for a trial interview. This went swimmingly well, I was more relaxed and depended less on frameworks, etc and more on what I knew. I was then moved to the formal interviewing process. I got lucky - I got along very well with the interviewing Partner and we had a lot of domain knowledge in common. I had done considerable research on the Partner's background, in advance.
I was now ready to move to the FINAL panel interview. At that time they froze all hiring in the US and I did not get to go through the final interviews.
It was an excellent experience. It as a lot of work but I learnt a lot in the process. I liked the people and the process and the care they showed for me. I cannot say enough good things about this firm.