The England manager saw Lambert score the winner of a pulsating friendly at Wembley with a bullet header, less than three minutes after coming off the bench in the second half to replace Wayne Rooney.
Hodgson admitted he did have a few concerns over England's defending as they conceded goals from James Morrison and Kenny Miller.
But he preferred to concentrate on the positives in a friendly played in front of a passionate crowd of 80,485.
Hodgson admitted 31-year-old Lambert could have played himself into his World Cup qualifying squad with his spectacular 25-minute cameo at Wembley.
"It's satisfying that it was won by a fairytale goal from Rickie Lambert," said Hodgson. "He's been a breath of fresh air while with us, so happy to be part of the squad. What a wonderful story that he crowned it with the winning goal.
"He could have gone away with the match ball, with his shot against the post and another that had to be palmed away. But maybe he has to be happy with one goal and he'll save a few others for a later date."
Asked whether it would be tough to leave him put of the squad for the matches against Moldova and Ukraine next month, Hodgson added: "I guess so. Obviously there might be a bit more competition next time.
"Daniel Sturridge is hopefully back playing after 45 minutes behind closed doors today. Andy Carroll is not far from fitness. We'll see in the next three weeks, but he won't be being struck off my list very lightly. It's up to him to go out for Southampton and do what he did last year with his goals and assists."
England were stunned when Morrison gave the Scots an early lead but Theo Walcott equalised before half-time. Scotland, however, came back to go ahead with a sparkling strike from Miller before headers from Manchester United striker Danny Welbeck and Lambert sealed the triumph.
Hodgson said: "Defensively there are a few holes in our game we'd like to see disappear but it was a very positive performance.
"We took plenty of risks with the ball, got players forward, created many more opportunities and dangerous situations than in past games.
"That's very positive. Maybe the most positive is to come from behind. When you have to chase games and take the responsibility for making the game, trying things, there's always a risk you could get caught on the counter like with Miller's goal."
Hodgson was pleased with the performance of Rooney who played longer than expected, having recently recovered from a shoulder injury and not having played any pre-season games.
Asked about Rooney's performance, Hodgson said: "Good. This is his first competitive game of the year. Under normal circumstances you wouldn't be expecting that of a player in mid-August against Scotland, but David Moyes and the people at United have been fantastic. They've almost welcomed the fact he wanted to play and I wanted to play him.
"He got 67 very valuable minutes. He was looking so fit, chasing hard and working hard. It went well because he's fit and raring to go."
Hodgson also reiterated how important midfielder Jack Wilshere is to England. The Arsenal star played the first half before being replaced.
Hodgson said: "He's very important to us. No question. He has that ability to unlock doors with his incredible footwork and that fantastic change of pace.
"For a young man he has a very good understanding of the game. He was caught in possession once which led to a counter, but we have to take responsibility for that. We're always preaching to players to be confident and bold and you'll pay the price sometimes."