The 1-0 loss at the Stadium of Light see's Sunderland firmly rooted at the foot of the table and now 13 points adrift of fourth from bottom West Brom.
"It was a fantastic game of football and most enjoyable for most of the time. We created some great chances and then to concede from a corner in the 92nd minute was a sickening blow," McCarthy said after the match.
"We built on a very good performance against Bolton on Boxing Day, I can't fault the spirit, commitment and work ethic when everything was down to one moment for not picking up the goalscorer from a corner.
"Only time will tell whether three points would have helped us and I know how difficult it is for the players to keep their spirits up.
"It's a tough time when you are losing every game, but a lot of these players have come a long way in a short space of time.
"The fans have been brilliant. I come from a similar area in Barnsley where they also love a tryer and both them and the club deserve better results wise.
"I have learned loads about myself, about the players and the Premier League and that is a game we should have won.'"