PSG opened the scoring at the Santiago Bernabéu on Wednesday through Adrien Rabiot but succumbed to a disappointing first leg defeat as Cristiano Ronaldo's brace and a late Marcelo strike secured victory for the European champions.
While Neymar admits the tie is far from over, with the second leg in Paris still forthcoming, he was honest in his assessment of the defeat.
"I think we took a step backwards at various moments," he said after the game, as quoted via AS. "We should have been more calm enough and we didn't have the maturity we needed in the later stages of the second half.
"We didn't put in a bad game but we need to improve if we are to have a chance of turning this around. It's going to be difficult but not impossible."