Exhibit 23.2

CONSENT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

We hereby consent to the incorporation by reference in this Registration Statement on Form S-8, relating to the Dynex Capital, Inc. 2009 Stock and Incentive Plan, of our reports dated March 13, 2009, 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 fiscal year ended December 31, 2008.

/s/ BDO SEIDMAN, LLP

Richmond, Virginia

May 21, 2009