City won the trophy on Saturday at Moses Mabhida Stadium with a 4-1 victory in the shootout against Matsatsantsa following a goalless stalemate in Durban.
Last year the Citizens lost the final 4-2 on penalties to SuperSport at the same venue after a 1-1 draw.
McCarthy, whose side were the better team on the day and struck the upright through Thabo Nodada in the first half among other chances, made history by becoming the first man to win the competition as a player and a coach since MTN started sponsoring the event.
The trophy was also McCarthy's first as a head coach in only his second season in charge of a team.
"I think after the final whistle went my first check was that I still had hair left because I think it was the most nerve-wracking game," said McCarthy, who won the event as a player with Orlando Pirates in 2011.
"I think last season was tough [to take[ and this was worse. As much as we were trying to be positive and keep the guys energised and constantly telling them to believe, I don't think any of us believed ourselves because we know what happened last time. We know that it looked like Supersport were pretty comfortable with taking us to penalties, relying on Ronwen Williams who specialises in these things. And rightfully so, he's one of the top goalkeepers we have in the country and he's good on penalties.
"I was fearing that we go to penalties and to be honest I thought, 'ahh, if it's penalties we lose'. But now we've got another Mark Gleeson in goals on the other side so I think that gave us a little bit of an edge.
"Like I said, Peter Leeuwenburgh, he sits down with the goalkeeper coach and they study.
"But I'm disappointed that we didn't finish the game in the 90 minutes. I think we had done more than enough football-wise and the game plan was to put the game to bed."
McCarthy also appreciated that SuperSport counterpart Kaitano Tembo, who is in his first season as a head coach, acknowledged the Citizens deserved the title for their display on the weekend.
"That was very honourable of coachy, and it's tough," said the 40-year-old.
"I think he's going to go through the same thing I went through last season as the first time for a head coach to lose. I think there's big opportunities there. And when it doesn't happen, it happens like a lottery in the manner that it did.
"But I think he'll come back stronger because he's got great players. You can clearly see that the players have taken to him. These guys are willing to go the extra mile for him. I think he's got something special there and he must keep going.
"Not that I'm an expert now because I've won the cup and that I can give advice, but I just talk because I've been in that situation last season."
Meanwhile, Bafana Bafana's record scorer with 31 goals gave credit to Durban for successfully staging another cup final.
"I think Durban came out, Durban came out today and they were unbelievable," said McCarthy, who scored at the venue for Pirates in the 2011/12 Telkom Knockout final.
"I'm so grateful for the league, for the MTN8 for deciding that it's Durban because I don't think I've played a single match as a player and now as a coach where Durban has disappointed.
"The fans, the media, I don't know but something is smooth here. It's quality, whether it's Chisa Nyama, I don't know. But Durban's got something that gets everybody going.
"So we couldn't have asked for a better attendance and thank you very much to the people of Durban for coming out and making this event as it was."