Luvuyo Memela scored just before half-time in the 42nd minute as Usuthu grabbed back-to-back wins in the continental competition at the Moses Mabhida Stadium.
McCarthy's side sit second in Group B on six points, three points behind Morrocan giants Raja Casablanca after three rounds of matches.
"Six points in two games, not bad hey," McCarthy said.
"How many of you thought AmaZulu would have six points after three matches? That is what we have done.
"It was a bit of a bitter-sweet moment for me. It is not every day that you find a novice team in the CAF Champions League going up against two-time winners ES Setif, and three-time winners Raja Casablanca.
"These things we do make me proud, and often I don't give my team enough credit.
"The fact that we did not win the game 3-0 or 4-0, which was doable. I see everyone else is celebrating, and people are saying to me that I must be happy when we win."
AmaZulu next host Stellenbosch FC in a DStv Premiership clash at Moses Mabhida Stadium on Wednesday.
Kick-off is at 19:30.