She said that she saw the honour as recognition for everyone at the regulator.
Ms McDermott, who will stand down from the regulator shortly when new chief executive Andrew Bailey takes over, said: "I am pleased and proud to accept this honour as a recognition of what everyone at the FCA has achieved for financial services consumers and markets.
“The work we do is challenging, complex and important and makes a difference to everyone in the UK. Our success relies on the fact that what we deliver as a team is greater than the sum of our individual contributions and I have been privileged to work with talented and dedicated colleagues over the past 15 years."
She was among a number of financial services figures to be named in the Birthday Honours list.
The list included David Whiting, tax director at the Office of Tax Simplification. He was also made CBE. Phillip Monks, the chief executive of bank Aldermore, was made CBE. Robert Smith, chairman of Alliance Trust, was made Companion of Honour.
Ms McDermott has worked at the FCA for many years but decided to withdraw from the application process to be chief executive and its is believed she will leave the FCA shortly.