The pair jumped ship just over a week ago from the UUP after a single unionist candidate was agreed to run in Mid-Ulster.
They have not yet named the new party but have outlined their vision in a statement.
"It is time for a confident, generous, progressive pro union party to step forward and build support for a modern Northern Ireland," they said.
"At a time when a recent opinion poll shows clearly that a significant majority of our citizens across the entire community support the current constitutional position, pro-union parties should not be leading a retreat into sectarian trenches."
So far Lagan Valley MLA Mr McCrea, who will lead the party, and South Down MLA Mr McCallister, are its only two members.
However they believe they represent a "new political dynamic" in Northern Ireland.
"In setting up a new party, we do not underestimate the challenges," they continued.
"We are aware that many political parties are vying for the attention of the electorate and that they are unlikely to welcome a new entrant. Some will be disappointed that we did not join them given that we are in agreement on a number of significant policy areas.
"However, many people are disillusioned with the current political process. A significant number have encouraged us to start a new party.
"If the existing political parties were the answer this would not be the case."