A Rickie Lambert hat-trick settled a thrilling game at St Mary's in which Forest's goals came from Derbyshire and Majewski.
McClaren, who felt his side were denied two 'blatant' penalties in the second half, saw plenty to be pleased with however.
"It is just a matter of time before we start to click as a squad. The players' attitudes were brilliant today and I thought they were excellent.
"We are disappointed with the result, though. It always takes time for teams to gel.
"We dominated the second half and should have had two blatant penalties. We will get better because I believe this team are capable of pushing up the league."
Opposite number Nigel Adkins hailed an 'amazing' game of football and said of Forest: "They are a good side and are going to be up there at the end of the season."