Goals from Romelu Lukaku and Eden Hazard and a double from half-time substitute Michy Batshuayi saw Scotland suffer a heavy home loss in front of just over 20,000.
McLeish’s players must now lift themselves for their opening Nations League clash with Albania on Monday night.
The manager admitted individual mistakes cost his side but he took the blame for demanding his players try to keep possession of the ball rather than play it long. Scotland conceded the first goal after 28 minutes when John McGinn was robbed of possession after Craig Gordon threw the ball to the midfielder in a tight position.
Charlie Mulgrew gave the ball away for the third goal and Ryan Jack was dispossessed for the fourth.
“I think if you analyse it immediately then mistakes cost us,” McLeish said. “We were doing OK in the first-half and made a mistake a lost a goal. At this level against a team of that stature the consequences are devastating. Sometimes you can get away with it four or five times at club level.
“We have encouraged the lads to take possession. John McGinn had a good game. But they have to learn fast. They were playing against some world superstars there. If not for the first goal we are going in at half-time all square. If anyone takes the blame it’s me because I told them to pass it.
“I know how good Charlie Mulgrew is passing the ball. He did not connect properly. And then Ryan Jack was caught on the ball. In my career I remember making mistakes and learning from them. It did me the world of good.”
McLeish remains confident his side will react well against Albania on Monday. The manager has now overseen four defeats in five games since returning to the role.
“It is not about statistics,” he said. “The best Scotland team there has ever been would have found it tough against that team. I thought we did a lot of good things. They passed the ball well. We cut through Belgium three or four times towards the end. We can’t be downhearted. We can take credit from that. I don’t want them to hump it up the pitch.
“I know I will see a lot of good things from the video tomorrow.” he added. “You often lament over bad losses and the next day you find something. I will definitely find something tomorrow.
“But you have to tear your hair out with the goals. We know we are not at Belgium’s level in terms of silky passing. But there are some good players there.”
Belgium manager Roberto Martinez was understandably satisfied – his team now travel to face Iceland in their opening Nations League fixture.
“We were very clinical in front of goal,” he said. “At international level you have to be patient. You can see what Alex McLeish is trying to bring. It’s positive. It was difficult for us to break down in the beginning. This [Scottish] group can become strong in the future.”