The 4-0 reverse leaves Forest rock bottom on the Premier League table.
O'Neill told BBC Sport: "They've spent a lot of money and again, there's been a lot of players arriving one after the other.
"And it is a concern. They started off brightly – they lost against Newcastle but then picked up a really good win against West Ham, got a creditable draw [at Everton] after that and it's been really tough since.
"The expectation, even for a side that has just come up, is very high considering the amount of money that has been spent."