Buried in Greyfriars is Sir George MacKenzie of Rosehaugh (1636-91), who was the Lord Advocate for Scotland in the second half of the seventeenth century. He was responsible for sentencing many Covenanters to death and as a result his opponents knew him as "Bluidy MacKenzie". For some reason his ghost seems to be one of the most active in the kirkyard, and many folk claim that it is responsible for physical harm experience by them. Many visitors to the kirkyard experience some form of pain for which they can see no apparent reason. When they touch the part that aches they discover blood has been shed, and when they next look in a mirror they are shocked to find that their face, arms or uncovered legs have scratch marks on them.

"Bluidy MacKenzie" does not keep his appearances to the kirkyard. His ghost also haunts a public house in nearby Niddry Street. A number of regulars there have seen him at various times. Some of the haunting incidents in the city's Niddry Street vaults are also attributed to MacKenzie. Visitors to these vaults have experienced many strange things. A young boy of eleven years old was in the vault when he felt his forehead being brushed by what he thought was a cobweb. The sensation quickly passed, but on leaving the vaults he discovered there were three scratches above his eyebrows...

A psychic, Ruth Urquhart, visited the graveyard in 2000 and was shocked when the spirit seemed to attack her. It clawed at the sleeves of her jacket and at her scarf, leaving them torn to shreds. Ruth claims that it left her in considerable pain. Nevertheless, she claimed that the spirit was a frinedly one, and that it was only trying to direct her to the burial vault of Bluidy MacKenzie. In her trance she was able to see the corpses of many Covenanters lying on the ground, many of them starved to death.