Bafana were sent packing from the 30th edition of the continental showpiece in Equatorial Guinea on Tuesday following their 2-1 defeat to Ghana, leaving them rooted at the bottom of Group C with only a single point.
McCarthy, 37, said he is tired of our national team hoping to progress to the next stage of major tournaments by relying on favours from other teams.
Bafana went to the match optimistic of a famous triumph over the Black Stars - and also hoping that Algeria beat Senegal.
“Yes credit must go to the boys; they did well as a team,” McCarthy said.
“They tried their best it’s just things couldn’t go our way.
“But we have been hearing one thing for over, over and over again.
“We always want to get favours from other teams in major tournaments for us to progress to the next stage.
“It’s not good to be always in a situation whereby you expect other teams to bail you out.
“It makes me wonder where our football as a country is going.”
It was the fourth consecutive time that Bafana have failed to make it past the group stages of the AFCON tournament, away from home.
The last time they reached the quarter-finals, on foreign soil, was back atthe 2002 campaign in Mali under Carlos Queiroz, where they were knocked out by the hosts in the last eight.