Images from the award ceremony appeared to show Mr McGregor, 33, and Machine Gun Kelly, 31, being kept apart by security.
Speaking to Entertainment Tonight, The Dublin-born star said "nothing" happened.
He said: "Absolutely nothing. I don’t know. He showed up, and I don’t know. I don’t know the guy.
"Nothing happened with me, I only fight real fighters, people that actually fight, you know what I mean.
"I certainly don’t fight little vanilla boy rappers. I don’t even know the guy. I don’t know anything about him, except that he’s with Megan Fox."
Machine Gun Kelly, whose real name is Colson Baker, was also asked about the alleged altercation but walked away without answering the question.
Both men later appeared during the VMAs ceremony.
Machine Gun Kelly was among the winners, taking home the prize for best alternative in recognition of his song My Ex’s Best Friend.
The artist also performed at the award show with the Transformers star as she introduced his performance along with Kourtney Kardashian.