The ex-South Africa international, who has been coaching with Hibernian as he works towards earning his badges, was targeted in the shop in Johannesburg, where armed men stole jewellery from him, according to his agent.
Percy Adams said one man pointed a gun at McCarthy’s face and demanded his watch, earrings and wedding ring.
Mr Adams told Eyewitness News that McCarthy was not hurt and other customers were not targeted in the incident.
McCarthy, who won the 2004 Champions League with Porto, is South Africa’s record goal-scorer and played in Spain and Portugal as well as England, where he also had a spell with West Ham United.
South Africa goalkeeper and captain Senzo Meyiwa was shot and killed in an apparent house robbery near Johannesburg last year. Police are still investigating.