McCarthy has been in charge at Molineux for over five years and Martinez was shocked to see the Irishman sacked.
Speaking to the Wigan Evening Post, Martinez said: "I was really surprised to see Mick go - really surprised - given what he achieved during his time.
"I saw first hand the good job he did when he took Wolves out of the Championship against to odds as champions. And to habe kept them in the Premier League for the past two seasons is no mean feat.
"The thing about Wolves is that, no matter the disappointment, they'd always be competitive in every game and they'd always come back fighting.
"It was such a shock to hear about Mick but, in many ways, that is the nature of modern-day football."
The sacking of McCarthy has made Martinez even more thankful for the excellent relationship he enjoys with his own chairman, Dave Whelan.
"I have always said that it is a privilege and an honour to be the manager of this football club, and thing like this prove that again," added Martinez.
"I believe that stability at a club works both ways, and that managers and players have to be loyal to clubs just as much as the clubs have to be loyal to them.
"But the way that our chairman has looked after our football club is the reason we've enjoyed seven seaons in the Premier League.
"And you only need to look at clubs like Manchester United and Arsenal to see that rewards come to those who value stability and don't make decisions purely on an emotional basis."