Southee was among six New Zealand players who headed into the test barely two weeks after being part of the squad that lost to hosts India in the semi-finals of the 50-overs showpiece event.
Since September, New Zealand have played limited-overs matches in England and Bangladesh before arriving in India for the World Cup, but Southee was quick to credit his opponents rather than point to the schedule.
"You look at the way the Bangladesh bowlers were able to apply pressure for a long period of time. I think we did that in periods but we did not do it for long enough," Southee said after New Zealand's first ever test loss in Bangladesh.
New Zealand's batters also failed to create the partnerships they wanted to, he added.
"So many things you can look back on. As a side, we are just looking to improve and hopefully learn from this and move forward."
Kane Williamson's gutsy hundred helped New Zealand barely eclipse Bangladesh's first innings 310 but chasing 332 on a worn-out track, the touring side were bundled out for 181 by the spin-heavy attack of their hosts.
"We knew in this part of the world, as test moves on, it gets harder to bat," Southee said.
"Every time you lose, it's not ideal but I think it's just a sign of an ever-improving Bangladesh team."
As for being on the road for a long time, Southee said it was not really an issue with them.
"We had a little bit of a break after World Cup," the seamer said.
"As professional player, you know it's a busy schedule...
"It's been a long time on the road for some, but that's part and parcel of being an international cricketer."
The second and final test in Mirpur begins on Wednesday.
