Andrew Hore's second-half try proved decisive as the visitors kept a 56-year unbeaten run over Wales in tact in tense circumstances at the Millennium Stadium.
And Lions tourists Ryan Jones, Stephen Jones and Shane Williams all admitted that it was another case of so close yet so far for Warren Gatland's men.
"It was such a tough game; you don't get many opportunities against New Zealand and you have got to make them count," said Williams, who toured with the Lions in both 2005 and 2009, playing against the All Blacks in the second Test in Wellington four years ago.
"We felt we could win this game and we came off the field thinking we should have.
"They're one of best teams in the world, and there's a reason for it."
Those sentiments were echoed by Wales skipper Ryan Jones, one of the star performers for the Lions in New Zealand.
"It was a fantastic Test, but we paid the price for a couple of errors in key moments," added Jones, who featured in all three internationals for the Lions in 2005.
"We didn't help ourselves. We were the makers of our own misfortune, but at 80 minutes we were still in with a chance, and on another day it might have gone our way."
And, having kicked all his country's points in the seven-point defeat, namesake Stephen also lamented his side's own mistakes while praising the standard of the opposition.
"We are bitterly disappointed we lost," explained Jones, who wore the No10 shirt for the Lions throughout the Test series against South Africa this summer.
"From our perspective, a few errors allowed them to get on to the front foot. But we have to give them a lot of credit. New Zealand are very clinical - they put us under a lot of pressure.
"I would love to have played in a game with a bit more width, but New Zealand are very well-organised defensively.
"It's the first game we've played in a long time, but we are going in the right direction. We keep improving and raising the bar and hopefully we'll get there."