McKenzie swept in on a tide of euphoria last month after Robbie Deans was removed in the wake of Australia's 2-1 series loss to the British and Irish Lions.
Expectations in the 'Sunburnt Country' were high.
"The expectations back home wouldn't be as high as mine," McKenzie told reporters on Sunday. "I'm disappointed. I have high expectations and don't go to games to come second. We go to games to win and I'm disappointed."
McKenzie accepted the scoreboard was the final arbiter. A 47-29 loss to the world champions in Sydney last week was followed by a 27-16 defeat in Wellington on Saturday.
However, the former Queensland Reds mentor found positives in the details, even if they were not enough to reclaim the Bledisloe Cup, the annual trophy contested between the trans-Tasman nations, for an 11th successive season.
The Wallabies made more line breaks than the All Blacks and made more running metres at Wellington Regional Stadium. They also brought a more balanced attack than their previous match in Sydney when they spread the ball wide for little gain and played too much inside their own half.
The difference was in the little errors that crept in, McKenzie said. Falling off one-on-one tackles. The occasional wayward kick. A poor kick chase. Turnovers at crucial times that led to tries. Bad option-taking.
The former tighthead prop would be well aware that scoring chances at the summit of world rugby are few and far between.
In both matches, the All Blacks took theirs, while the Wallabies left too many on the park. Australia were also culpable for surrendering hard-won momentum and failing to put pressure on their opponents' set piece.
The Wallabies scrum and lineout disintegrated on Saturday.
One shining light for McKenzie was the continued world class performances of openside flanker Michael Hooper, who proved to be a constant pest at disrupting the All Blacks' ball and was better supported at the breakdown in Wellington.
McKenzie has two weeks to analyse his squad and possibly bring new players in for the South Africa match in Brisbane.
The Wallabies have better results against the Springboks, and won nine of their 14 tests in the Deans era by playing an up-tempo game and running their big forwards around.
McKenzie said he would be unlikely to throw out that game-plan but may look at changes for the clash at Lang Park.
"How long is a piece of string?" he asked. "I'll go look at the guy's contribution, their understanding and how well they're fitting into the team and then obviously what we need to do against the Springboks.
"We won't shy away from the fact we want to use the ball. The only way we can get better at that is by doing it."