The Rams were beaten 13-3 by New England Patriots in the Super Bowl as Bill Belichick and Tom Brady won their sixth championship.
The LA franchise never got going at the Mercedes-Benz Stadium, making just 14 first downs.
Todd Gurley was limited to just 34 yards from 11 touches as they scored just one field goal.
It was 33-year-old McVay’s first Super Bowl appearance as head coach, in just his second season.
He was beaten by Belichick, 33 years his senior, with the Patriots coach winning the championship for the sixth time.
And in an emotional press conference, McVay admitted he had been shown up by the more experienced man.
“I’m pretty numb right now, definitely I got outcoached,” McVay said.
“I didn’t do nearly good enough for the football team.
“The thing that’s so tough about all this is the finality of it.
“Usually when you go through adversity you can bounce back right away, this one’s going to stick with you.
“It stings in your gut and I’m still kind of numb right now.
“I love these players and coaches and that’s the motivation to go back to work and try and do right for them.
“This is a humbling game and they did a great job mixing it up on defence, you see why they’re a great football team.”
Belichick praised the job McVay has done at the Rams this season, with the Super Bowl just their fourth loss all season.
“Our players went out there and competed against a great football team,” Belichick said.
“I have a ton of respect for Sean, his staff, the Rams football team.
“That’s a great team and we knew it was going to be as hard a competition as we’ve had all year and it was.”