Saints led after just three minutes through Jay Rodriguez, but the hosts hit back through Wayne Rooney's double to lead at the break.
Mauricio Pochettino threw on Lallana at half time for his first appearance since suffering a knee injury at the start of December, and that seemed to inspire Saints to put in a much-improved second-half showing.
However, despite dominating in terms of possession and shots, the visitors could not find a way past United to suffer their first league defeat in more than a month.
"The lads are gutted because we've dominated the second half against the team that's dominated English football for years," Lallana told Saints Player
at full time.
"I think the goal might have come too early. Sitting there on the bench watching it myself, I thought it was a great start but we didn't keep going.
"Then it was a case of getting in at 2-1 and the manager made some changes – he said a couple of things that he wanted us to do tactically.
"We created chances and put lots of crosses into the box but didn't have that real, clear-cut chance.
"We are disappointed but we're happy with how we played in that second half."
United boss Sir Alex Ferguson hailed Saints' second-half performance after the game, with Pochettino telling his team that they deserved credit for how they played.
"You've got to listen to what Sir Alex is saying because it's a great compliment," said Lallana.
"The manager said that if we play like we did in the second half, press like that and play football like that then we're going to do well and go far.
"We've got to take confidence out of that, and we have to take this into the game on Saturday against Wigan," added the midfielder ahead of Saturday's trip to the DW Stadium.
"It's a six-pointer. They gave us a lesson at St Mary's in what was only our second game, and they are a very good footballing team with a great manager.
"But, if we play like this for 90 minutes then I'm confident that we're going to get three points."
On a personal note, the team captain said he was pleased to be back in the thick of things after missing the last seven games.
"I didn't expect to be back this soon, and didn't expect to get 45 minutes tonight," he admitted.
"Surprisingly I felt really good and really fit. I'm so excited to get back playing under the new manager.
"The work that the medical team and physiotherapists have done with me has paid dividends, and I feel as fresh as I've felt all season."