A first-half penalty from Helder Costa had given the visitors the lead, before former Wolves winger Michael Kightly levelled the scores on the hour mark and Cauley Woodrow secured all three points for the hosts in the fourth minute of time added on.
The result brought an end to a good run of form for Lambert's side, which had seen them win four of their last five games, including FA Cup wins away at Premier League sides Stoke City and Liverpool.
"We didn't do enough to win it but I don't think we deserved to lose it and credit to Burton," Lambert told reporters after the game. "It was one of those days where it never went for us.
"This is Championship football, this is what it is like, you have to come to places like this and grind it out and we didn't do that. We have had two massive draining games in the last week or so and we are not good enough to think we can turn up and win a game of football. We have to be bang at it, every single game.
"At some stage this was going to happen and now it is about how we bounce back. This is the first time for a number of weeks that this has happened. A reality check will always come and now we have to try and go on another run.
"It was disappointing to lose but individually the players have been great recently. These lads have been brilliant for me since I have been here. They have put in some incredible performances. Even though I am incredibly disappointed for everyone concerned – supporters, players, staff – I am not going to let one defeat blight what has happened. We will win games, and we will lose games, but the effort will always be there. The big thing for me is that we bounce back in the next game."
Wolves now embark on a run of five straight games at home, starting with the visit of Championship promotion hopefuls Newcastle United next Saturday.