The couple, who wed in 2014, live in St. Charles, Illinois, a suburb of Chicago.
"I grew up in Chicago and then my best friend moved to the suburbs and I looked at her Facebook photos of all of her kids playing and I said, ‘We have to move there,’" McCarthy said today on "Good Morning America."
"He said, ‘Let’s do it,’" she said of Wahlberg. "So now we have kind of like this perfect little suburban life."
The couple's life in St. Charles will be on full display when the third season of their reality TV show, "Donnie Loves Jenny," premieres tonight on A&E.
"I’m a big city boy from Boston so it’s a whole different lifestyle for us and, you know, all the different things we run into in the small town really create a lot of funny moments for us," Wahlberg said.
Wahlberg also stars on the TV drama "Blue Bloods" and another reality show, "Wahlburgers," that follows his famous family and their restaurant business. He'll also be appearing on a third reality show, "Rock This Boat," that will document his band, New Kids on the Block, on their annual cruise with fans.
"Sometimes I do get confused," Wahlberg said of appearing on four different TV shows. "Sometimes I yell during my interviews. She’s like, ‘That’s ‘Wahlburgers’ talk. That’s not ‘Donnie Loves Jenny’ talk.'"
"Donnie Loves Jenny" airs tonight at 10/9c on A&E.