Scotland trailed to a 40th minute goal from Tijjani Reijnders but should have found the net themselves, twice hitting the woodwork and missing a number of chances.
Late goals from Georginio Wijnaldum, Wout Weghorst and Donyell Malen sealed an emphatic victory for the Dutch in a match that was part of both countries' preparations for the European Championship in Germany in June.
"Overall, I think we will look back on it with so much to take from the game but obviously the scoreline is an embarrassing one for us," McGinn told Viaplay after the defeat.
"When you get good spells in the game, which we did we had good chances, one of them has got to go in.
"You can say you've played well and had chances but we've got to be more streetwise when it goes to 2-0 and shut up shop a little bit more."
Scotland have qualified for their second successive Euros after missing five editions between 2000 and 2016 but captain Andy Robertson said getting there is not enough.
"We do not want to be the team that just qualifies for tournaments, we want to be competing. We have to get back to winning ways and it needs to start quickly," Robertson added.
"Today we tried to treat it like a rehearsal for the Euros and for large parts we did well but the game is over 90 minutes.
"We have got the energy, it is not as if we tired, we kept the ball really well and we just switched off. In a game we played well we could have walked off at 6-0."
