The 26-year-old, who can play at left-back, central defender or in midfield, watched Wolves' final game of the campaign against Sunderland at Molineux on Sunday.
Sources close to Wolves indicate Belgian international Van Damme is a potential target.
But reports a fee has already been agreed are understood to be premature as are claims Van Damme agreed personal terms.
Van Damme, capped 23 times by his country, helped Anderlecht win the league title in Belgium and he scored the opening goal in a 2-1 success over Club Brugge in the decisive game.
The 6ft 4ins Van Damme has also been linked with Wolves' local rivals West Brom and Europa League finalists Fulham.
McCarthy is aware of the need to strengthen his squad after clinching Premier League football for a second successive season.
He said: "We will try and improve the squad. I am no doubt we will and we want to get better.
"There are areas we are looking to strengthen and I've been doing that for a long time.
"I have a budget that we work within and (owner) Steve Morgan, (chief executive) Jez Moxey and myself manage that - and that is not going to change."