McGoldrick, on loan from Nottingham Forest, completed the scoring in injury time with his 18th goal of the season.
Smith insisted the two sides were equally matched, bar the in-form striker.
"I think the difference between the two teams was McGoldrick," said Smith.
"He was a threat from minute one to minute 95. His movement, his appreciation for the game, his ability to finish and his instincts to get in those areas are the difference at this level.
"To have somebody of that ilk in our front line would make a massive difference. If you take him out of their line-up I suspect there would be some differences in how they play."
Lucas Akins put Stevenage in front from the penalty spot but three goals in the final 11 minutes saw Coventry end up as winners.
Smith added: "It seems to be a recurring problem, letting in late goals.
"There was plenty to be happy about in the opening 45 minutes to an hour. We get ourselves in front and things are looking good.
"The first goal though was a real negative to a lot of people. There's too many chins going on chests and shoulders getting turned around, it's just a real problem for us at the moment. And then the second goal was a killer for us."
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