Craig Levein's men head into Tuesday's clash in Brussels second-bottom of Group A following Friday's 2-1 defeat to Wales.
Their only points on the board so far have come from draws at Hampden against Serbia and Macedonia in last month's double-header.
The Scots now face the daunting task of travelling to Belgium knowing they need to secure what would be an unexpected victory against the section favourites.
But McGregor insists Scotland's players cannot afford to dwell on what might have been at the Cardiff City Stadium.
He told the Scottish Football Association website: "It is always important to bounce back when you don't get a good result and it is especially so now.
"Obviously qualifying has become more difficult now but we can't give up, and we need to look forward to the Belgium game with belief that we can take something from them."
Scotland were on course for a first win of the campaign in Cardiff when James Morrison fired them into a first-half lead against the Welsh.
Steven Fletcher than had what appeared to be a perfectly good goal disallowed, before the home side hit back to snatch the points through a late Gareth Bale double, which included a debatable penalty.
McGregor added: "It's hard to pinpoint what is going wrong. As the manager said, there is just one ingredient away from things going well but luck is definitely not something we have had a lot of.
"The group was always going to be a difficult one and it has become even more difficult now, but we have to take the positives, block out the negatives and do our best to get a result in Belgium."
Defender Christophe Berra knows the odds are stacked firmly against Scotland ahead of the clash in Brussels, but he pointed out that they have risen to the occasion in the past when written off.
He said: "We're second bottom. It's not a great position to be in.
"But we will look over the game and we will go to Belgium on Monday and prepare for the game on Tuesday.
"They are a top team, with world class players, but we have done it before. We did in France.
"When we're down, we always seem to bounce back.
"We didn't play badly against Wales. Lady Luck just didn't go our way.
"Footballers are thick-skinned. At club level as well, you get beat in one game, you've got to move on.
"We are disappointed now but you can't dwell on the past."