McClain's spouse Summer Worden had claimed that McClain accessed her bank account from a NASA-owned computer, touted as the "first crime in space".
In a tweet on Sunday, McClain said: "There's unequivocally no truth to these claims. We've been going through a painful, personal separation that's now unfortunately in the media.
"I appreciate the outpouring of support and will reserve comment until after the investigation. I have total confidence in the IG (Inspector General) process," McClain added.
Worden has accused McClain of identity theft and claimed that the astronaut accessed the account from aboard the ISS during a recent mission, reports Space.com.
NASA also responded to the claims made against McClain.
"Lt Col. Anne McClain has an accomplished military career, flew combat missions in Iraq and is one of NASA's top astronauts. She did a great job on her most recent NASA mission aboard the International Space Station.
"Like with all NASA employees, NASA does not comment on personal or personnel matters," NASA officials said in a statement.
The "crime in space" was first reported by the New York Times.
Worden married Anne McClain in 2014.
McClain joined the astronaut programme in 2013 after flying more than 800 combat hours in Iraq and remains a Lt Col. in the Army.
She was supposed to be a part of NASA's first all-female spacewalk in March before it was cancelled for lack of proper spacesuits.
( With inputs from IANS )