Brighton's Pascal Gross (31) scored twice in the first half before an Alexis Mac Allister (23) own goal gave United a glimmer of hope in the 68th minute, but Brighton held on for their first ever win at Old Trafford.
"I think it was a good start and then after (the first goal) we dropped down a level, dropped down in belief and we made mistakes and the opponent punished us," Ten Hag told reporters.
"We dropped down in belief in the first half and that cannot happen, you always have to believe in yourself and stick together as a team.
"We came back in the second half and we had to believe on the pitch and that was good to see. They have to deal with those setbacks and give themselves belief because they are really good players."
Ten Hag defended his decision to start with Cristiano Ronaldo (37) on the bench, saying the Portugal international was not ready to play a full match after skipping United's pre-season tour to Thailand and Australia.
Christian Eriksen (30) was instead deployed as a 'false nine', with Ronaldo coming on in the 53rd minute.
"If there was an available striker, I would have played him," Ten Hag said. "Ronaldo is now maybe for 10 days in team training and too short for 90 minutes, so that is the reason we didn't start him.
"We considered Marcus Rashford (24) as a striker but he had a really good season on the left side and he had two really good chances, but the typical nine wasn't available today."
United next face Brentford away in the league on August 13th.
