Yes, it's a general construction which is related to so-called Isbell conjugation.

Let $C$ be a small category. It is well-known that the free colimit cocompletion is given by the Yoneda embedding into presheaves on $C$, $y: C \to Set^{C^{op}}$. The presheaf category is also complete. Dually, the free limit-completion is given by the dual Yoneda embedding $y^{op}: C \to (Set^C)^{op}$. The co-presheaf category is also cocomplete.

Therefore there is a cocontinuous functor $L: Set^{C^{op}} \to (Set^C)^{op}$ which extends $y^{op}$ along $y$. This is a left adjoint; its right adjoint is the (unique up to isomorphism) functor $R: (Set^C)^{op} \to Set^{C^{op}}$ which extends $y$ continuously along $y^{op}$. This adjoint pair is called **Isbell conjugation**.

As is the case for any adjoint pair, this restricts to an adjoint equivalence between the full subcategories consisting, on one side, of objects $F$ of $Set^{C^{op}}$ such that the unit component $F \to R L F$ is an iso, and on the other side of objects $G$ of $(Set^C)^{op}$ such that the counit $L R G \to G$ is an iso. Either side of this equivalence gives the Dedekind-MacNeille completion of $C$. By the Yoneda lemma, $y: C \to Set^{C^{op}}$ factors through the full subcategory of DM objects as a functor $C \to DM(C)$ which preserves any limits that exist in $C$, and dually $y^{op}: C \to (Set^C)^{op}$ factors as the same functor $C \to DM(C)$ which preserves any colimits that exist in $C$.

**Edit:** Perhaps it might help to spell this out a little more. The classical Dedekind-MacNeille completion is obtained by taking fixed points of a Galois connection between upward-closed sets and downward-closed sets of a poset $P$. So, if $A$ is downward-closed (i.e., a functor $A: P^{op} \to \mathbf{2}$), and $B: P \to \mathbf{2}$ is upward-closed, we define

$$A^u = \{p \in P: \forall_{x \in P} x \in A \Rightarrow x \leq p\}$$

$$B^d = \{q \in P: \forall_{y \in P} y \in B \Rightarrow q \leq y\}$$

and one has

$$A \subseteq B^d \qquad \text{iff} \qquad A \times B \subseteq (\leq) \qquad \text{iff} \qquad B \subseteq A^u$$

We thus have an adjunction

$$(L = (-)^u: \mathbf{2}^{P^{op}} \to (\mathbf{2}^P)^{op}) \qquad \dashv \qquad (R = (-)^d: (\mathbf{2}^P)^{op} \to \mathbf{2}^{P^{op}})$$

and the poset of downward-closed sets $A$ for which $A = (A^u)^d$ is isomorphic to the poset of upward-closed sets $B$ for which $(B^d)^u = B$.

All of this can be "categorified" so as to hold in a general enriched setting, where the base of enrichment is a complete, cocomplete, symmetric monoidal closed category $V$. We may take for example $V = Set$. Analogous to the formation of $B^d$, we may define half of the Isbell conjugation $R: (Set^C)^{op} \to Set^{C^{op}}$ by the formula

$$R(G) = \int_{d \in C} \hom(-, d)^{G(d)}$$

where $\hom$ plays the role of the poset relation $\leq$, exponentiation or cotensor plays the role of the implication operator, and the end plays the role of the universal quantifier. The other half $L: Set^{C^{op}} \to (Set^C)^{op}$ is also defined, at the object level, by

$$L(F) = \int_{c \in C} \hom(c, -)^{F(c)}$$

(the right-hand side is a set-valued functor $C \to Set$; when we interpret this in $(Set^C)^{op}$, the end is interpreted as a coend, and the cotensor is interpreted as a tensor). In any event, given $F: C^{op} \to Set$ and $G: C \to Set$, we have natural bijections between morphisms

$$\{F \to R(G)\} \qquad \cong \qquad \{F \times G \to \hom\} \qquad \cong \qquad \{G \to L(F)\}$$

and the analogue of the MacNeille completion is obtained by taking "fixed points" of the adjunction $L \dashv R$, as described above by full subcategories where the unit and counit $F \to RLF$ and $LRG \to G$ become isomorphisms. These full subcategories are equivalent; one side of the equivalence is complete because it is the category of algebras for an idempotent monad associated with $RL$, and the other side is cocomplete because it is the category of coalgebras for an idempotent comonad associated with $LR$, and thus both sides are complete and cocomplete.

**Edit:** It has been pointed out that there is a mistake in the argument at the end of the prior edit, asserting that the fixed points of the monad coincide with the algebras of an associated idempotent monad. See Michal's answer (posted 9/13/2013).