Scotland arrived at the Principality Stadium scenting a first victory in the Welsh capital since 2002, having crushed Australia earlier this season and ran world champions New Zealand close.
But optimism was quickly replaced by damage limitation as Wales scored two converted tries during the opening 12 minutes and then ran out 34-7 victors, with Scotland restricted to a late Peter Horne try that Finn Russell converted for their only scoring contribution.
France head to Murrayfield next Sunday, and the Scots have to regroup quickly or their Six Nations campaign could collapse into a complete state of disrepair.
“We spoke so much during the week about coming down (to Cardiff) and winning,” Scotland hooker McInally said.
“It is a bitter pill to swallow. A lot of the points they scored were our doing, our errors, so that is something we need to look at ourselves - how do we get better on that front.
“It was 14-0 after 14 minutes - something like that - but the tries they got were two errors from us. They didn’t have to work too hard for them. They got an intercept where we just set up our carrier really wide, and then (Gareth) Davies picked that off.
“There was not too much panic at that point because it was all our doing, and that is the most frustrating thing. Jonny (Gray) was carrying well, and we had the better rugby in the first half.”
Scotland prevented any further Wales points before half-time, but two quickfire Leigh Halfpenny penalties shortly after the break left McInally and company 20 points adrift and with no hope of a comeback.
“We didn’t seem able to string more than a few phases together, and their defence was excellent,” McInally added. “They just played better than us.
“They are a quality team that are littered with British and Irish Lions and quality players who are in really good form for their clubs, so we knew how tough it would be to play them in this competition away from home.
“We wanted to come here and play well, which we didn’t.”
McInally admitted the second quarter proved frustrating as Scotland strived to reduce their 14-point deficit, failing to capitalise on territorial supremacy.
“I felt we played the better rugby and were constantly in their half, but we were not getting anywhere,” he said.
“They were well-disciplined and were not giving up many penalties, and we always seemed to be on the wrong end of those penalties, which was annoying.
“You struggle to get into the game in that way, but credit to Wales, they played really well.”