McGrady averaged 38.5 points, 6.0 rebounds, and 6.8 assists as Orlando won three of four games last week, and received the honor in the Eastern Conference for the second time in three weeks.
The All-Star had 48 points, 10 rebounds, and five assists in last Wednesday's 111-109 victory over Milwaukee.
The 6-8 McGrady scored at least 40 points for the ninth time this season on Sunday, when he poured in 43 points in a 111-98 win over Denver. He is averaging 31.7 points per game, just ahead of O'Neal's teammate, Kobe Bryant, in the scoring race.
O'Neal, who won the award for the Western Conference, averaged 35.0 points, 11.7 rebounds, and 4.0 blocked shots as the Lakers went 3-0 last week.
The 7-1 O'Neal had his second 40-point game of the season Friday, and also grabbed 14 rebounds in a 106-96 win over Minnesota. He recorded 39 points and 10 boards Sunday in a 106-92 victory over Philadelphia.
Other nominees for the weekly honors were rookie J.R. Bremer and Antoine Walker of Boston, Jalen Rose of Chicago, Steve Nash of Dallas, Chauncey Billups of Detroit, Gilbert Arenas of Golden State, rookie Yao Ming of Houston, Pau Gasol of Memphis, Sam Cassell and Gary Payton of Milwaukee, Allen Iverson of Philadelphia, and Stephon Marbury of Phoenix.