Using Okounkov's $q$-integral representation of Macdonald polynomials we construct an infinite sequence $Ω_1,Ω_2,Ω_3,\dots$ of countable sets linked by transition probabilities from $Ω_N$ to $Ω_{N-1}$ for each $N=2,3,\dots$. The elements of the sets $Ω_N$ are the vertices of the extended Gelfand-Tsetlin graph, and the transition probabilities depend on the two Macdonald parameters, $q$ and $t$. These data determine a family of Markov chains, and the main result is the description of their entrance boundaries. This work has its origin in asymptotic representation theory. In the subsequent paper, the main result is applied to large-$N$ limit transition in $(q,t)$-deformed $N$-particle beta-ensembles.