Swindon got off to the worst possible start when Franck Moussa gave Coventry the lead after just 64 seconds.
But the visitors controlled the game and got what they deserved when Andy Williams equalised five minutes from time before Darren Ward headed a 90th-minute winner.
But MacDonald felt goalkeeper Wes Foderingham's 67th-minute save from Coventry striker Leon Clarke's header was the turning point of his first match in charge.
MacDonald said: "Playing nice football doesn't always win you matches. It takes all sorts of things to win football matches, but we were able to hang on in there and get the right result.
"The big thing for me was when young Wes made the save from the chance that would have made it 2-0.
"I don't think you will see a better save in any division this weekend and had it been 2-0 it might have been too much of an uphill task for us.
"After that save I thought maybe we were going to get back into it and get a bit of luck.
"We had missed a lot of good chances, but with the players we have here you always know you are going to get another chance.
"When we got the first goal, we thought we would get another one and luckily enough Darren got us the winner."