They are also struggling in Division One of the County Championship after winning promotion last summer, with just one victory in seven matches.
"It was pretty embarrassing if I'm honest," McGrath told BBC Radio Leeds. "The last two performances have not been anywhere near good enough.
"Again, we lost our way, and anytime we have a bump in the road we seem to have a bad three or four overs and we just can't deal with that setback. We just give all the momentum away to the opposition.
"We did it a bit with the ball and then with the bat. We were going well in the powerplay, but there were six or seven overs where we got behind the rate and lost wickets. Very disappointing."
He added: "We just haven't played good enough. We had a very experienced team out there, there's no excuses.
