Glenn Murray scored a hat-trick, two of them penalties, and also missed another spot-kick as his side struggled to live with their opponents.
"I can't remember a game when a side has conceded three penalties," said McCarthy.
"It was a sobering experience but we knew that one victory (their 1-0 win at Birmingham on Saturday) wouldn't turn the whole season around.
"We didn't come here with only 10 points and suddenly become a really top team. It's been a long five days and I've learned a lot about my team. I know we've got a fair bit of work to do.
"There's other teams around in this league that we will have to beat but Palace were terrific all over the pitch.
"Ollie's (Ian Holloway) inherited a very good side but that doesn't come overnight."