The 32-year-old has been taken to Musgrave Serious Crime Suite for questioning.
McNally died on Sunday after being stabbed in her home in the Silverwood Green area of Lurgan.
Police earlier said McNally was 15-weeks pregnant, adding the 32-year-old died a violent death, having been stabbed a number of times and sustaining defensive injuries.
“This fatal attack, which happened in her own home, has therefore resulted in a double tragedy: the death of a mother to be, along with her unborn baby,” Detective Chief Inspector John Caldwell said.
“Her death has left family and friends devastated, and the local community in shock.
“What should have been a happy time in the run-up to Christmas has changed to unimaginable grief and heartache.”
Emergency services responded to a report at around 10pm on Monday and detectives have been trying to establish Ms McNally's movements since 4pm on Sunday.
Meanwhile, Lurgan Model Primary School, where Ms McNally’s mother Bernadette previously worked, took to social media to express its sadness and pay tribute to a much-loved former pupil.
“A number of current staff taught Natalie and remember her fondly as a kind, caring and capable person, with a smile for everyone,” a Facebook post said.
"We wish to express our sincere condolences to Bernie and all of Natalie’s family and friends. May she rest in peace.”
Many friends have also paid tribute to Ms McNally, including SDLP councillor Ciaran Toman, who went to school with the “kind” young woman.
He recalled their time at St Michael’s Grammar School in Lurgan, now St Ronan’s College.
“She was a kind, lovely and reserved young woman from what I remember of our time at school together,” Mr Toman said.
“Natalie kept her emotions to herself, but it was clear to me from then she was very bright.”
It’s understood the young woman was a passionate LGBT+ activist.
Her death comes two years after she campaigned for better health services for those living with diabetes in Northern Ireland.
Ms McNally, who had type one diabetes, had signed up to get an insulin pump which she believed would improve her quality of life, but was told she would have to wait four years.
"It's really saddening to know that if I walked into a clinic in England I could get this device next week and really improve my life, it's a baffling situation,” she told this newspaper at the time.
"I'm very grateful for the treatment I do get, but it almost feels like it's a real waste.”