The Villans forged a two-goal lead against Sir Alex Ferguson's men only to slip to a 3-2 defeat as half-time substitute Chicharito propelled his side to victory
Andreas Weimann put the hosts in front, scoring either side of the break, but a Chicharito double and a Ron Vlaar own goal helped the Red Devils turn the game on its head.
But Lambert believes his side performed well against Sir Alex Ferguson’s men, feeling they were unfortunate to come away with nothing.
“I’m absolutely gutted to lose because we gave everything we had.” he told reporters.
“They kept on going right until the end. I couldn’t fault them, and you could see that in the way the crowd reacted. They engaged with them.
“I couldn’t ask for anything more from them. They do that week in, week out, and I’m really proud of what they’ve given me.”
The Midlands side have won just twice in the Premier League so far this season, but Lambert is confident that performances are improving.
“I think we’ve been playing well for a couple of weeks now, so hopefully the confidence will be in abundance after that. They’re a really young side but they’re playing very well.”