Two strikes from former Bantam Will Atkinson did most of the damage before a late goal from the unfortunate Romain Vincelot confirmed a 3-0 loss for McCall's men at Roots Hall.
Although City were far from their best against the Shrimpers, the Bantams still had their opportunities in the game - hitting the bar and twice having efforts cleared off the line among others.
Speaking after the game, McCall said: "Obviously losing 3-0 was not what we were looking for, but there were parts of the performance I was pleased with.
"We had some players in the team that were probably below-par considering the standards they have set themselves so far this season.
"Southend are a good side, especially when they have all their players back which they do now, but they got a helping hand for their opener.
"I think everyone in the stadium could see that it was a blatant handball from (Simon) Cox for the first goal but unfortunately the ref hasn't seen it.
"We made a lot of unforced errors in the first half - a bit sloppy at times - but we've also had some good play in the half as well.
"We've hit the bar from a free-kick, Hans (James Hanson) has gone close with a header and Nicky Law's had a shot deflected just wide.
"Second half, we've had a right go at them, I'm not quite sure how we didn't score against them.
"I've been involved in plenty of 3-0 defeats as a player and a coach where there is nothing to take from it but there was enough today (Saturday) to show there is something about us.
"We will go through a lot of highs and lows throughout the season.
"The level of the performance was ok today - on another day we maybe could have got a point from the game - but we at least have a game coming up quickly on Tuesday (vs Northampton Town) to try and bounce back in."
Billy Clarke was absent from City's team-sheet at Southend as the Bantams decided to err on the side of caution following a recent groin problem.
McCall added: "He actually got a bad kick against Accrington in the FA Cup and it gave him some bleeding on his calf, but not a tear.
"He obviously played very well against Rochdale last weekend but it had been feeling a bit tight for him in training this week.
"Speaking to him this (Saturday) morning, he didn't want to start the game and then risk the possibility of coming off early.
"We took the decision then to not involve him in this one.
"You have to be careful with calf injuries - you can be looking at a month out if they go wrong - but hopefully a weekend's rest we see him in contention for Tuesday."