The Royals are rock-bottom of the Premier League and their desperate plight was worsened by Southampton, who eased their own relegations fears with goals in either half from Jay Rodriguez and Adam Lallana.
McAnuff believes Reading's commitment could not have been questioned, but accepts that even the slightest slip-up proves costly at the highest level.
"We looked at it as a game we could get some points from, but it wasn't to be," said the Reading captain.
"It wasn't through lack of effort or togetherness. It's just from our point of view not getting the little breaks and the decisions here and there.
"We all worked hard, but from our point of view the goals were disappointing.
"You get punished at this level and we've found that out this season."
McAnuff insists the team have not given up hope of an unlikely escape from relegation.
"The biggest lesson we have learned this season is that games are decided by fine margins," he said.
"I thought we started the Southampton game very well and were very positive, but unfortunately they got the first goal and went on to win.
"But it wasn't through lack of effort and we'll make sure between now and the end of the season we'll put the effort in and we'll see where it takes us."