Wanderers made it their best start to a season since 1962-63 as they edged to a win at Molineux that kept them top of the Coca-Cola Championship and unbeaten after six games.
Leading after only 19 seconds, they were made to work hard by Palace for their fifth successive league win - one that means they stay ahead of Birmingham on goal difference.
"We didn't get about them in the first half as we can do and took our foot off the gas a little bit," said McCarthy.
"But what pleased me was that we put it back on the pedal in the second half and deserved to win. We could have put it beyond doubt but it was hugely important that we won that sort of game when we had to grind it out.
"It had just become expected of us that we would score goals and it's not always going to happen.
"It's great that we've had such a good start and we're enjoying it. But it's still only a start."
Wolves, already full of confidence after scoring 16 times in five Championship games, made the perfect start with one of the quickest goals in their history.
David Jones helped back Andy Keogh's left-wing centre and Sylvan Ebanks-Blake turned and scored with a fine left-foot shot.
Although Clint Hill then got away with a penalty-area tug at Sam Vokes, it was not long before Palace hit back.
Wayne Hennessey saved well when Paul Ifill produced a powerful shot following a quick free-kick but the same player levelled in the 34th minute when Neill Collins' mistake allowed Kieran Djilali - on his first League start - to pick him out unmarked in the middle.
Wolves were much more threatening in the second half and the impressive Michael Kightly homed in following a neat link-up between substitute David Edwards and Stephen Ward before Julian Speroni blocked his angled drive.
The lead was restored shortly before the hour when Speroni again saved superbly, this time from Ebanks-Blake, only for Keogh to follow up and score with a header.
It was the Irishman's first club goal since April and one that might have been followed by a clincher from Kightly, who ended a thrilling dash by scooping off target with only the keeper to beat.
Palace manager Neil Warnock said: "I thought we regrouped well after that early goal and hoped we might go on and win in the second half.
"Okay, Wolves could have had three or four in the end but they were getting a bit anxious at 1-1 and the type of break they got for their winner is the sort of thing that happens when you're top.
"With the young lads we had in the side, we could have gone under big-style after that first-minute goal and it's to our credit that we didn't."