Co-founder of the Cliometrics Society, she is a Fellow of the American Academy of Arts and Sciences and of the American Association for the Advancement of Science, and has been a fellow of the Guggenheim Foundation, the National Endowment for the Humanities, and the Institute for Advanced Study.

[6] In 1996 at Iowa she and Stephen Ziliak published a seminal paper of econometrics, "The Standard Error of Regressions" in Journal of Economic Literature, marking the beginning of a decades-long collaboration, led mostly by Ziliak, on the history, philosophy, and practice of statistical significance testing and estimation in economics, medicine, and other sciences.

A second, Bourgeois Dignity: Why Economics Can't Explain the Modern World, was published in 2010, and argued that the unprecedented increase in human welfare of the 19th and 20th centuries, from $3 per capita per day to over $100 per day, issued not from capitalist accumulation but from innovation under an unprecedented liberalism in northwest Europe and its offshoots.

A popular version of the trilogy is Leave Me Alone and I’ll Make You Rich: How the Bourgeois Deal Enriched the World (co-authored with Art Carden) in 2022.

[12] In 2003, McCloskey was a vocal critic of J. Michael Bailey after the release of his book The Man Who Would Be Queen, which presented and popularized sexologist Ray Blanchard's theory of autogynephilia as a motivation for sex reassignment surgery.

She also led a successful campaign pressuring the Lambda Literary Foundation to withdraw the book's previous nomination for one of its awards.

[14] McCloskey has described herself as a "literary, quantitative, postmodern, free-market, progressive Episcopalian, Midwestern woman from Boston who was once a man.