"It was very unnerving," McMahon said to reporters later. But the pilot "was super calm which made me super calm and we landed perfectly."
He later tweeted his thanks to the pilot and emergency responders.
I'd like to thank the man upstairs for looking out this morning & thanks to pilot Mario, Suffolk Co. Marine Bureau & Fire Island Coast Guard
— Shane McMahon (@shanemcmahon) July 19, 2017
McMahon's mother is Linda McMahon, who heads the Small Business Administration in President Donald Trump's administration.
The Federal Aviation Administration said the helicopter had taken off from Westchester County Airport in White Plains. The pilot issued a mayday call before going into the water, and a commercial flight heading to Kennedy International Airport heard it and relayed it to FAA controllers at a radar facility.
It was not yet clear what went wrong.