Cardiff owner Vincent Tan has sent an email telling Mackayto resign or else face being fired - but Mackay is adamant he has no intention of quitting.
Manchester United manager Moyes said: "I certainly do have sympathy for him. It certainly can't be a decision about football because Malky has done everything correctly with the football team, he has prepared them right, he has got them into the Premier League, he has got them competitive, he has got a stadium and a crowd that is right behind him and the team.
"He recognises that if he doesn't continue to improve Cardiff City then it will be tough.
"I don't know what goes on behind the scenes there but all I can tell you is that it has got nothing to do with football. Anybody who looks at it from a football perspective can tell you that he is doing a great job."
Hull manager Steve Bruce said Tan should be thanking Mackay for what he has achieved and not threatening him with the sack.
When told of the email, Bruce said: "Oh my gosh - Merry Christmas... But nothing surprises me any more because of the way football has gone.
"From the outside they should be really thanking Malky, he has done a wonderful job. He gets them up, and is making a fist of keeping them up but it's the industry we work in."
Stoke boss Mark Hughes said it would be "astounding" if Mackay was sacked.
He said: "It's a really terrible situation that Malky finds himself in. From the outside looking in it looks like the relationship between himself and the owner has broken down. When that happens it's usually the manager that leaves the position.
"If that's what happens then it's quite astounding really given the job that Malky's done there and really disappointing for Cardiff City themselves."
Chelsea boss Jose Mourinho said clubs should respect the contracts agreed with managers.
He added: "I don't speak about individual cases, because I don't know them. Only the persons that are involved in any one of these five cases, plus the Cardiff situation, only they can speak about the situation.
"The only thing I can say is that every manager that is sacked is something that I am not happy with. I believe that when you give the job to somebody it's because you trust somebody and, even if the results are not the results that people expect, I think every manager deserves time to complete his contract and, at the end of it, in a fair way, to analyse with his club if there are conditions to continue or if it's better to end.
"I don't like people to be sacked in the middle of the season."
West Ham manager Sam Allardyce said Mackay should stick to his guns.
He said: "If what they're saying is true, 'Resign or I'll sack you' is not a decision for Malky to make is it? It's a decision for the owner to make, not for Malky. Malky needs to sit there and what will be will be."
Manchester City boss Manuel Pellegrini said it was vital for a manager to have good relationship with a chairman.
He added: "It is impossible for the manager to be successful if the president of the club does not trust in him."
Arsenal manager Arsene Wenger said there is no real secret to his longevity other than he was given more time most managers.
He said: "To be given time is important first of all when you're a young manager you need to learn the job. Nobody goes in a job at 33, 34 years of age and knows the job. If he's not given the time somebody else comes in and he has the same problem.
"There are some countries where the instability of managers is chronic. After what happens you have no quality anymore because people with quality do not go into jobs where they are sacked every three weeks for ridiculous reasons so it's very important for the quality of the game that there is a certain stability."