The Magpies suffered a 2-1 loss to Watford at Vicarage Road in the Premier League on Saturday afternoon.
After a goalless first half, Odion Ighalo put the Hornets in the lead in the 46th minute, and Craig Cathcart doubled the advantage from close range on 58 minutes.
Jamaal Lascelles halved the deficit for Newcastle with a headed effort in the 71st minute.
“They’re (the players are) disappointed, they’re frustrated, the same as everybody else is,” McClaren told The Chronicle about the mood in the dressing room.
“In the cold light of day, we’ve thought: ‘Two good performances, we’ve performed very well.’ But results as in Manchester United and West Ham, we need to follow that up and we’ve failed to do that.”
Over the course of the 90 minutes at Vicarage Road, hosts Watford had 51% of the possession, took 13 shots of which five were on target, and earned two corners.
Visitors Newcastle had 49% of the possession, took 11 shots of which just two were on target, and earned seven corners.
The Magpies are third from bottom in the Premier League table at the moment with 21 points from 23 matches.
McClaren’s side are two points behind 17th-placed Norwich City and are very much in danger of getting relegated to the Championship at the end of the season.