The retired former South African international superstar and Uefa Champions League winner told the Sunday Times how criminals broke into his abode while he was on holiday with his family in Dubai.
After helping themselves to some household items, the burglars made off with his luxury Range Rover, but they failed to drive away with a Mercedes-Benz.
No longer feeling safe living in the Edinburgh family mansion, his Scottish model wife, Stacey Munro, whom he married in 2014, left the house and moved in with her mother.
"The b****rs took computers and stole my Range Rover.
"They took the Mercedes keys. They could not get it out of the garage, so I guess the keys were a consolation," said McCarthy, speaking from Scotland.
I'm just glad my daughters were not in the house. I would have probably tried to fight to protect them
"Now the wife, she was scared you know, she didn't want to continue living in that house any more and then she left to go stay with her mother.
"When a woman is scared, you must act, and we've moved to a nearby neighbourhood.
"You see, the people back there at home must know that this crime is everywhere, it is all over, not just there.
"It is just that in South Africa they also kill, they just don't take, they also donner and hammer you.
"We have bought another place, still in Edinburgh. The issue of security had to be taken care of."
McCarthy said he was happy that the family was not in the house when the burglars broke in.
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"We had just gone on holiday; in fact it was on our first day in Dubai when we were alerted of the break-in.
"I'm just glad my daughters were not in the house. I would have probably tried to fight to protect them.
"You know me, where I come from, I didn't have nothing. I had to leave home and everything behind to make a success of myself. And then people just come and want to take, just like that," said McCarthy.
It was not the first time that McCarthy, a Champions League winner with Porto under Jose Mourinho in 2004, had fallen victim to crime.
He was robbed at gunpoint at a barbershop in Johannesburg in May last year. The three robbers were not interested in other patrons at the salon and targeted McCarthy, who was in the country to do commentating work for SuperSport.
They took his wedding ring, watch and a diamond earring.
McCarthy, who retired at Orlando Pirates in 2013, after fulfilling his dream of winning a Premier Soccer League title in South Africa, has turned his attention to coaching.
He has obtained a Uefa A coaching licence, the second- highest coaching certificate in Europe.
The Bafana Bafana all-time top scorer, with 32 goals from 80 matches, is now gunning for the highest qualification available, the Uefa Pro licence.
He has stated his desire to one day coach Pirates and Bafana.
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