Bolton stormed back from going 1-0 down to win 2-1.
"Unfortunately we spurned a few chances in a first half when we had a good performance," said McLeish.
"To see it turning like that was horrible. It was a kick in the guts. We have to rally the troops and prepare them for the next game.
"We have simply got to move on and we realise there are nine points to play for.
"It is still in our hands and we know we face tough challenges leading into the last three games but I believe in the players and believe they will be in the Premier League next season."