Scotland sit bottom of Group A with two points after letting slip a lead against Wales for the second time in their campaign on Friday night, as Gordon Strachan began his competitive reign with a 2-1 home defeat.
The games do not get any easier for Scotland with two trips to the Balkans coming up, firstly against Serbia in Novi Sad on Tuesday before facing Croatia in June.
McGregor insists spirits remain high despite going five matches without victory in their campaign and wants the players to relish rather than fear the encounter in Serbia.
Scotland looked extremely nervous in the opening quarter on Friday as Wales dominated possession but they settled down and built on Grant Hanley's 45th-minute opener before Robert Snodgrass's penalty-box foul changed the game.
McGregor said: "Morale is fine, obviously it would be stupid for me to say we are not disappointed because all the boys are.
"We didn't start the game well but I thought we finished the first half well and I thought at the start of the second half we were in control until the sending-off.
"It's just one of those things, the boys are fine. We just have to have it in our head to be ready.
"We need to go out and enjoy it because we looked for the first 20 minutes of the second half that we were enjoying it.
"Obviously the goal helped us and probably (Gareth) Bale going off helped us a wee bit, but we looked good."
- Sports & Recreation