England were outperformed in every part of the game as the Proteas stormed to an innings-and-12-run victory before tea on the third day when the hosts were bowled out for 149.
The Ben Stokes and McCullum era had started successfully as they stormed to unlikely victories in their first four Test matches - including chasing down 378 to beat India earlier in the summer - in stark contrast to their first defeat at the home of cricket.
However the England coach will not respond too hastily, especially when it comes to selection, despite questions being raised over Zak Crawley's recent struggles with the bat - the opener has averaged just 16.4 in Tests this summer.
"I don't think we should overreact in the moment," McCullum said.
"I look at a guy like Zak and his skillset is not to be a consistent cricketer. He's not that type of player but he is put in that situation because he has a game that means when he gets going he can win matches for England.
"We have got to be really positive around the language we use with him and be really consistent with the selections around that as well and keep giving guys opportunities."
The head coach added: "I think selection loyalty is really important because not only does it build loyalty with the guys that are in the side but also it builds loyalty for the guys on the outside knowing that when their time and their opportunity does come they are going to be afforded the same sort of loyalty."
England had dominated in their first four Tests of the English summer, storming to unlikely victories, although they were always chasing the game.
At Lord's there were few signs of the aggressive batting approach known as 'Bazball', although for the most part the English batters were blown away by the well-balanced South African bowling attack.
Anrich Nortje hit 95mph in a spell that saw him claim three wickets in just 10 deliveries, while Kagiso Rabada earned a place on the Lord's honours board with a five-fer in the first innings.
McCullum admitted he would have liked to see England try and turn the pressure back on the bowlers during the game, after they were bowled out for 165 and 149.
He said: "I guess one of the messages we will be talking about is did we go hard enough with our approach?
"Could we maybe go a little harder and try turn some pressure back on the opposition as well?
"When the game was in the balance and a couple of spells from their boys were testing, we could maybe have been a little braver to be able to turn some pressure back on the opposition - in both innings.
"But, you have to try to absorb pressure at times and get yourself back to a position of parity to then put some pressure back on the opposition. We weren't able to do that."