Derby County lost 2-0 to Fulham back in February.
Derby were top of the Championship when they travelled to Craven Cottage, but their loss against the capital outfit sent them spiralling down the table.
Derby went on to win just twice in their last 13 matches, and McClaren admits that he wasn't expecting his team to fall away so badly.
"After going top in February, where we dropped to shocked me," he said.
“The defeat at Fulham at the end of February shocked me a bit and I said to Sam Rush (Chief Executive) at the time, if we won that game I had the belief that we would really push on.
“Ultimately we lost the game and poorly as well. What happened from that point was something I didn’t see coming, which was surprising as I have seen a lot in football.”
For Derby to miss out on even making the play-offs was a major shock as they were the division's stand-out team for much of the season.
The Rams headed into the 2014/15 campaign among the favourites to secure promotion, and appeared to be certainties to make it into the Premier League until February.
However, as injuries and fatigue began to take their roll, Derby couldn't maintain their performance levels and dropped like a stone as a result.
A 3-0 defeat to Reading on the final day of the season was enough to see them slip down into eighth place in the table and means that they will be hoping to make it third time lucky under McClaren’s guidance next term – with the Rams having tasted Wembley Stadium heartache in the play-off final against Queens Park Rangers 12 months ago.