The Canaries are currently in the relegation zone after taking seven points from their opening seven matches of the season.
Despite the team's disappointing start to the campaign, McNally insists that manager Chris Hughton has the full backing of everyone at the club to turn things around.
"I think we're not in the position we deserve to be given the performances," he told the Norwich Evening News. "I'm not happy about being 18th; I'm embarrassed by it.
"So I'm sure lots of supporters feel the same way and we will do everything we can to support Chris to get up the table as quickly as possible, and to stay and remain up the table."
Norwich return to action on October 19 when they travel to Arsenal.