The Perth side headed into the second leg of the third qualifying round clash protecting a 1-0 lead following last week's win in Belarus but, after missing numerous chances, were taken to extra time when Milos Rnic volleyed home an equaliser 15 minutes from the end of normal time.
With no more goals in the additional half-hour, the game was decided by spot-kicks.
Skipper Dave Mackay and Paddy Cregg missed the Scots' first two attempts to hand the Belarusians the advantage, but Alan Mannus blocked from Vital Kibuk and Siarhei Kazeka to give Saints a chance.
MacLean then saw his smashed penalty saved by Minsk keeper Vladzimir Bushma, though, and the visitors claimed a 3-2 shoot-out victory.
The 30-year-old was a picture of gloom after the match but vowed Saints would respond the setback in the right way.
He said: "I tried to go for power but the keeper has guessed right.
"That's football. It's easy when everything is going well. But this is what it's all about now. When things go wrong, it's the real players who come out fighting. We've got guys in there who will come out fighting and I'm sure we will."
Minsk had six players booked during the game and defender Sergey Sosnovskiy sent off after the final whistle for goading the dejected Saints players.
MacLean felt the Minsk left-back should have been dismissed for a last-man foul on him early in the first half, and the hosts were also aggrieved towards the end when substitute Rory Fallon had a decent shout for a penalty turned away by Montenegrin referee Pavle Radovanovic.
"We're all gutted in there," MacLean said. "They were a stuffy team to play against. They just sat with everybody behind the ball. They didn't show any ambition.
"To be fair they got their goal but I think it was their only shot on goal. That's football - it kicks you in the backside sometimes. It's done that to us tonight.
"They kept fouling us just as we were going through and it was one of those nights. I think they should have had a man sent off.
"Early on the boy fouled me when I was clean through. The referee tried to say there was four defenders. But I don't know where he got that from. We've been unfortunate, to be honest.
"I don't know what happened with the one at the end but the boys have said it was a stone-waller. The referee didn't give us much."
- Sports & Recreation