Van Damme moves to Molineux on a three-year deal with an option for a further 12 months after the two clubs agreed an undisclosed fee for the 26-year-old.
Wolves boss McCarthy was pleased to have snared Van Damme, who has experience of life in England having played for Southampton in the 2004/05 campaign.
"Jelle is a player we've been watching for a long time and I'm delighted we've managed to sign him," said McCarthy.
"He is a versatile defender who can play in several different positions and also boasts Champions League experience with Anderlecht and 22 international caps with Belgium.
"Playing in the Premier League is going to be a new challenge but from talking to him it's one he is clearly looking forward to and relishing.
"There were other clubs who were keen to sign him but we were able to get in early and register our interest and get the deal done.
"It's also a big advantage that he will be able to come in and spend all pre-season training with the squad and hopefully that will give him plenty of time to get settled in.
"He's older and more experienced than the last time he played in the Premier League and I'm looking forward to working with him."