The young Gers lost out 2-1 to the Dutch side in a tight match at Ajax Training Centre but created a number of chances in their opening match of the competition.
Speaking to RangersTV at full-time, McCallum admitted there was frustration the squad were unable to take something from the game.
He said: "The lads are a little bit frustrated, in the first-half we were maybe a little bit slow and a bit passive and obviously we go two goals behind and we started to get a bit disjointed for a certain part of the game.
"Getting a goal just before half-time was important and going into the second half the message was just to be braver and trust yourself and get closer and make more contact when the opportunities allow and I think that was clear.
"We have had a number of opportunities in the second-half unfortunately it has just not fell our way. We have hit the post two or three times and the penalty so we have had chances to if not draw the game, win the game but it has not happened and that is probably where a bit of frustration comes in and a little bit of disappointment comes in with the result.
"We got a little bit of belief in the second-half but the only bit that was missing was that last bit to put the ball in the net and I think in the second-half the performance probably merited something."
Despite the defeat, there are a number of positives for Rangers to take forward as they prepare to face Napoli in their second match of the group next Tuesday.
McCallum continued: "That is another good game, another good opponent but we have got to take the bounce from this second-half and how we played. Every game is going to be different and they are good teams but we have to back ourselves as well.
"Another pleasing factor is we look at some of the youngsters we have as well, Paul Nsio starts the game as a 16-year-old, Bailey Rice comes on he is 15. I know Ajax were young as well but it is a good experience and hopefully something that is not just going to be a short-lived thing over these eight weeks or so it is something that over the next couple of years some of these guys will go there again.
"A little bit of confidence has got to be taken about what we can actually do in this group stage and we have to use that and look forward to Tuesday."
SUBSCRIBE: Get closer to your club with a RangersTV subscription HERE
B TEAM SEASON TICKET: You can still purchase a B Team 22/23 season ticket and earn 25 MyGers points HERE
ㅤ
ㅤ