The Scottish giants head into Wednesday's return leg at Murrayfield with a priceless away goal courtesy of McGregor's 83rd-minute winner in Iceland on Tuesday.
It was the 21-year-old's competitive debut for the Bhoys and the midfielder - who joined the club aged nine - admits that he is "absolutely delighted".
"To score in the Champions League for Celtic - I have been there since I was nine years old - was a dream come true," he is quoted as saying by Sky Sports News.
"It was a little bit of relief with it being 0-0 but I was absolutely delighted.
"It was a big night for the club, to strive to get Champions League football again, and that might be the goal that takes us through to the next round so I am absolutely delighted."
Next week's second leg kicks off at 7.45pm.