Exhibit 23.1

Consent of Independent Registered Public Accounting Firm

Dynex Capital, Inc.

Glen Allen, Virginia

We hereby consent to the incorporation by reference in the Registration Statements on Form S­3 (No. 333-222354) and Form S-8 (Nos. 333-159427, 333-198796, and 333-224967) of our reports dated February 27, 2019, relating to the consolidated financial statements, and the effectiveness of Dynex Capital, Inc.’s internal control over financial reporting appearing in the Company’s Annual Report on Form 10-K for the year ended December 31, 2018.

/s/ BDO USA, LLP

Richmond, Virginia

February 27, 2019