Reference (Canon): https://www.youtube.com/watch?v=CsUzrgKZLMQ

McCree had already made a name for himself as a member of the notorious Deadlock Gang, which trafficked in illicit weapons and military hardware throughout the American Southwest, when he and his associates were busted in an Overwatch sting operation. With his markmanship and resourcefulness, he was given the choice between rotting in a maximum-security or joining Blackwatch, Overwatch's covert ops division. He chose the latter. 

Although he was initially cynical, he came to believe that he could make amends for his past sins by righting the injustice in the world. McCree appreciated the flexibility afforded to the clandestine Blackwatch, unhindered by bureaucracy and red tape. He was given instruction by Gabriel Reyes, another Blackwatch member. But as Overwatch's influence waned, rogue elements within Blackwatch sought to bring down the organization and turn it to their own ends. Wanting no part of  the infighting, McCree set off alone and went underground.