Marshall pulled off a superb save to keep out a goalbound header from Shane Long with four minutes left as his stock continues to rise.
And Mackay said Marshall's outstanding form meant he had not been too concerned when Long's header made its way towards the Cardiff goal.
"I didn't fear the worst because I knew my keeper would save it," said the Scot. "Shane Long is someone who has scored regularly and he got hold of it well. But David Marshall has been immense for me, that was a top, top save.
"He was the best goalkeeper in the Championship last year and had certain challenges last season in terms of his ability getting back in the Scotland squad and being the number one goalkeeper in the Championship. Now we are seeing he is a proven Premier League goalkeeper.
"He has done a lot of work with our goalkeeping coach Jim Holman and we have a real belief in him and he brings a calmness to our back four which is noticed as well because the back four were tremendous again."
Mackay was also impressed with winger Craig Noone, who produced a lively display and provided the cross for Peter Whittingham's winner.
Noone has had to wait for his chance to impress this season, but Mackay said: "He is someone I love having at the club, and he has a real love for football.
"He has had to bide his time, he has got great potential to be a Premier League player.
"He knows he has got a lot to add to his game but in that final third he can be unplayable at times and he caused West Brom all sorts of problems."