Cardiff fought back from being 2-0 down to get to 2-2 before Ricardo Vaz Te's winner for West Ham.
"We had a mountain to climb with the way we started," admitted Mackay.
"I thought we were a shadow of ourselves in that first period but we scored a beautiful goal on the stroke of half-time to bring ourselves back into it
"We had a conversation at half-time and certainly put West Ham on the back foot in the second half.
"To quieten the crowd to that extent at 2-2, I'm very proud of the players."