Deon Hotto scored the only goal of the game to seal victory for the Buccaneers, while AmaZulu skipper Tapelo Xoki had a penalty saved late in the second half.
McCarthy feels his side should have had been awarded three penalties and said if 'there was any justice in this life' the match would have seen a completely different outcome.
"I'm going to say out of courtesy congratulations to Pirates. They took their chance that came to them and they scored and for us you saw what we were about and if there was in this life justice we would be standing here saying a different story," the Usuthu coach told SuperSport TV.
"If you are a football lover and you see what's happening in the game when it comes to decisions that cost your team, to get knocked out of the competition. I counted three penalties so because we get one, you must now be happy because it's justice. Hey, come on, there is no justice.
"It was a great game of football. Yes, we're a small team but on the pitch we show a lot of heart and a lot of character and I can't be more proud of this group of players that we have. Being away from.. But for us a lot of positives to take away and we can only get better and I'm super proud of my players and they couldn't have done more.
"They were beaten by the man in the middle today, not by our opponents and I'm going to stick to that because that's my feeling and everyone else that loves football and knows football. We weren't beaten by our opponents today."