The Missouri Democrat says she made the decision as the cloud of suspicion has grown surrounding contributions from people connected to Hsu.
McCaskill took no money directly from Hsu. Her staff has estimated that the senator received more than $18,000 from people reportedly associated with Hsu.
Hsu is under federal investigation for allegedly violating election laws.
Sen. Hillary Rodham Clinton's presidential campaign is returning $850,000 in donations raised by Hsu.
The move comes after days of criticism from Missouri Republicans, and just hours after a release from the state party calling McCaskill "arrogant."
"Claire McCaskill’s arrogant refusal to return $20,000 in campaign cash from donors linked to disgraced Democrat contributor Norman Hsu insults honest Missourians aware of the FBI investigation of Hsu associates and ethically-challenged Hillary Clinton’s decision to return a staggering $850,000 in campaign donations from Hsu," said G.O.P. spokesman Paul Sloca in a release.
After news of McCaskill's decision, the G.O.P. slammed the junior Senator again -- one more time, just for good measure.
“Claire McCaskill’s ridiculous and untruthful excuse for why she is finally giving this money back is an insult to Missourians because these contributions were as dirty last week when she was vigorously defending them as they are this week when her political soul mate Hillary Clinton pressured her to return them,” said Sloca. “Claire McCaskill is a follower, not a leader, and today she proved that point loud and clear.”