The 52-year-old, who celebrated five years in charge in the Molineux hotseat on Thursday, confirmed his happiness in his current role.
But after leading the Republic of Ireland to the 2002 World Cup during more than six years as a national team boss, McCarthy admitted he would one day consider returning to the international ranks to lead a team in a major tournament.
He told the Express & Star: "If we start doing my wishlist then the reality is I want to win the Premier League.
"But I also want to go to another World Cup or a European Championships with another international team or with Ireland."
The Wolves boss revealed the only time he has come close to quitting Molineux was when he was offered the South Korea coach's job in December 2007, 18 months into the Wolves job.
But, after being assured that the board were singing from his hymn sheet, McCarthy signed a one-year rolling contract, which remains in place.
He added: "I did quite fancy it actually - I just got approached and asked. I thought about it and I'd have enjoyed it - trying to take another team to a World Cup does appeal.
"I'd sooner take Ireland to another World Cup, but taking another one would be fantastic."