McGrady worked out for the Los Angeles Clippers on Wednesday and took a physical on Tuesday.
NBA.com first reported McGrady's scheduled workout with the Bulls.
McGrady has undergone surgeries on his left knee, and he played in just 30 games last season, including 24 in New York after being traded from the Houston Rockets.
The Bulls are not committed to pursuing McGrady, but are simply one of several teams considering the veteran.
McGrady is represented by Arn Tellem, who enjoys a strong relationship with Bulls chairman Jerry Reinsdorf.
The Bulls courted McGrady as a free agent in the summer of 2000, when then-general manager Jerry Krause met him at O'Hare Airport with a three-piece band, cheerleaders and Benny the Bull. But McGrady chose to sign with the Orlando Magic.
Krause was interested in drafting McGrady out of high school in 1997, a subject McGrady touched on in his Twitter account. McGrady, who was picked No. 9 overall by the Toronto Raptors, tweeted that Krause would have had to trade Scottie Pippen to move up to draft him, but Michael Jordan killed the deal. McGrady said he respected Jordan's loyalty toward Pippen.