Lopetegui was appointed La Roja boss in 2016 following the retirement of Vicente del Bosque and guided his side to 2018 World Cup qualification by topping Group G, winning nine and drawing one of their fixtures.
A day before the finals of the tournament kicked off, however, with the Spanish national team already in Sochi ahead of their opener with Portugal, Lopetegui was sacked and replaced by Fernando Hierro.
The decision from the Spanish Football Federation came 24 hours after it was revealed that Lopetegui had agreed to succeed Zinedine Zidane at Real Madrid for the 2018-19 season.
Spain were eventually knocked out of the World Cup by hosts Russia in the round of 16, losing 4-3 on penalties following a 1-1 draw.
And while Lopetegui took much of the blame for his country's early exit, the Real boss says he has no regrets about how his situation played out.
"Simply I took a decision and I would take it again, I did it honestly and I have no regrets," he said.
"Madrid has grown [in recent years], it was always special and now with the new trophies it is even more so, they are the best of the 21st century.
"For me now the responsibility has always been to manage a group in order for them to win, the day-to-day now is different from being Spain coach. It is unknown for most coaches what it is like to be in charge of Spain but the day-to-day is demanding, different."
Former Barcelona boss Luis Enrique was appointed on a two-year contract following the summer World Cup and has the task of winning the 2020 European Championship.
And despite his own sour ending, Lopetegui insists he will be backing Luis Enrique and Spain in their future endeavours.
"Not at all, I am very happy to train Madrid, we have a great challenge, a fantastic objective and I have a lot of hope that it goes great for the national team with Luis Enrique," he continued.
"I am a fervent supporter of Spain, now it is a period for me in the past and now we are focused on our objective which is a big challenge. We are all focused on what we have to do now and the past is in the past.
"The way it happened cannot be changed. I don't want to look backwards, I explained at my presentation what I felt and I feel the same now.
"I am not uncomfortable about what was said and I am just concentrating on the present. I explained the situation, we did the right thing to say yes to Real Madrid. I would do it again."