McClaren was installed as the club's new boss after Nigel Clough departed last month.
The 23-year-old told BBC Radio Derby: "It was disappointing to start with, but the new gaffer has has been brilliant with the boys.
"They came in and told us what they want from us early doors. Obviously it is going to take time for them to get their views across, but I think that we have started the right way."
Derby's first match under McClaren saw them record a 3-1 victory over Leeds United.