Many believe that the defeat could spell the end of Levein's time in charge of the national side, but McGregor is adamant that his side won't give up.
"I can speak for all of the boys, we are all behind him 100%," said McGregor.
"It is going to be the same players so I don't know what is going to change and how dramatically it is going to change if someone else comes in.
"It isn't great but until it is mathematically impossible but obviously with the start we have had it is not going to be easy."
Scotland face Serbia in their next Group A match in March.