Marco Urena's first-half goal was enough to condemn Scotland to a disappointing result in the first game of McLeish's second spell as manager, in which five players made their international debuts for the home side.
Four other players in McLeish's squad could get their first taste of international football on Tuesday and the Scotland manager told Sky Sports he would shake things up in his team selection.
"It'll be a different team again and we'll look at other players," he said. "It's not a competition, that's why we experimented a little bit.
"I'd like to have a great win ratio but you've got to make some sacrifices and we've learned a lot. There's a few things we can look at going forward."
McLeish acknowledged his side's improvement in the second half after they were pegged back for much of the opening 45 minutes, and called for his forward players to take their chances in Budapest.
"The second half was better than the first," said McLeish. "We were a bit laboured in the first half – we always seemed to be halfway there and not quite the full distance. We had a couple of chances in the second half.
"It's a building process. They're a well-drilled team and we've still got to get our team to play with a rhythm.
"We have to be more clinical."
Opposite number Oscar Ramirez told reporters: "It was a game that really helped us. We managed the pace of the game which is something we'll have to do a lot in the World Cup."