Some large and highly desirable offices receive more applicants, but you should not assume there is a clean public ranking of admission difficulty.
Start with where you have a credible personal or professional reason to live and work. Looking at major McKinsey office locations can help you understand how different offices vary in market and industry exposure.
A smaller office can still be very selective, especially if it hires a smaller class. Raw applicant volume is only one side of the equation.
If several offices genuinely fit, learn about their work mix, staffing, and recruiting channels. Choose the one where your story and long-term fit are strongest rather than applying somewhere you would not actually want to join.