McCall's men were handed their first loss of the season in the league this Saturday thanks to Chris Maguire's free-kick winner for Oxford from just outside the box in the first minute of injury time.
The Bantams, who had already seen a penalty from Billy Clarke hit the crossbar in the first period, could have still snatched a share of the spoils with the last kick of the game when Romain Vincelot tumbled in the box but the creditable appeals for a second spot-kick were waved away by referee David Webb.
In an entertaining encounter, both sides had their moments in the match - with Oxford starting and ending the game strongly - but it was arguably the Bantams who had the greater chances.
Along with Clarke's penalty miss, Jordy Hiwula also threatened to break the deadlock either side of the break.
His first effort on the half hour mark saw the striker volley over when in behind Oxford's back line while the loanee attacker went even closer minutes after the break, firing wide with a mistimed shot from a few yards out.
After suffering their first league defeat of the season, McCall says City must now look to move on quickly and go again in their next fixture at home to Southend United on Tuesday evening.
McCall said: "We don't like losing any game, but it is particularly disappointing when you lose it in the final moments of the match.
"In large spells of the game I thought our performance was very good, we were just not clinical enough when our chances arose.
"We played some good stuff in patches and created some great chances but we didn't work the 'keeper enough.
"Romain (Vincelot) is convinced at the end that it was a penalty but we didn't get it.
"I knew this would be a tough game, Oxford will give a lot of sides problems this season, but I felt our performance probably deserved at least a share of the spoils.
"It is a horrible feeling to lose, it is never nice to lose, but we can't do anything about it now. We must look to bounce back on Tuesday with a strong performance against Southend.
"We will regroup after this one, possibly freshen things up with one or two changes, and look to hopefully get all three points from the match."
On top of the defeat itself, City also suffered the blow of seeing James Meredith forced off early into the second period after appearing to pick up an injury in the first half.
Meredith was replaced just three minutes after the break, with Matthew Kilgallon coming on for his first league action of the season to take over the Australian's left back duties.
McCall added: "Because of the type of person he (James Meredith) is, he wanted to carry on.
"Chris (Royston, Head Physio) wanted to take him off at half time but Mez (James Meredith) wanted to give it five/ten minutes in the second half.
"We will have to assess him over the next 48 hours.
"It wasn't a bang really, his twisted it. It is difficult to assess right now because it is a bit of an unusual one down the side of his leg.
"Matty (Kilgallon) came on and did fine. He played a number of games for Blackburn Rovers in the Championship at left back, that was one of the reasons we brought him in because he can give us an option at full back."
Despite a recent return to training following a spell on the sidelines with a calf complaint, James Hanson wasn't part of City's travelling party down to Oxford this weekend.
McCall explained: "We could have been selfish for the sake of ourselves and brought him down with us on Friday, sat him on the bench and maybe brought him on for the last ten minutes.
"For his own benefit though, he's had a really good training session yesterday (Friday) which he wouldn't have been able to do had we brought him here.
"He's also had a couple of good hours at the training ground today and he'll have another session tomorrow. He'll be ready to train with us Monday and be available to us on Tuesday (vs Southend United).
"We felt it was best to give him two-three good days on the training ground rather than bring him all the way down here just for possibly ten minutes or so off the bench.
"The work will have got him fitter and stronger, and will be a benefit for him and for us in the long term."