Wales were much improved on defence, having conceded 102 points in their first two games in the championship, but switched off at a vital moment in the second half to allow Scotland to build up a head of steam and win the game.
It was a 14th successive defeat for the Welsh in the Six Nations, and 24th in their last 26 tests overall, but Tandy insists they are a team moving in the right direction.
"Bitterly disappointed not to win the game," he told reporters. "But there is massive pride in the group.
"That was a step in the right direction, but we’ve got to be better next time. There was a lot to like in the first-half, with how we attacked the game.
"It’s a difficult one to swallow. It’s about us getting better. It’s around the journey, we’re at the start of something. They (Scotland) had 10 (British & Irish) Lions.
"It’s not the scoreboards you want, and we’re nowhere near the team we want to be. I’m devastated for the group but we’ve got to keep getting better. There’s large parts of that game where if we keep growing, we’ll be in the fight."
Leading 23-12, several Wales players turned their backs on a Scotland kick-off as they trundled back into position and Finn Russell’s quick take caught them out, allowing Darcy Graham to score a very soft try.
"It was huge," Tandy said of that moment. "You need to make people work for their opportunities. We feel we didn’t do that. It gave Scotland energy. It’s another harsh lesson. In high-class games, you can’t knock off."
Wales are next in action in two weeks’ time in Ireland and could be without flyhalf Sam Costelow and loose forward Taine Basham following injuries picked up against Scotland.
"They don’t look great," Tandy said. "Sam can’t bear weight and Taine's is a (shoulder injury)."