The Oilers fired McLellan on Tuesday after losing six of their last seven games and replaced him with veteran bench boss Ken Hitchcock. But McDavid says the entire team is responsible for those results, not just McLellan.
"We're all to blame here," McDavid told reporters. "This obviously isn't on Todd at all, it's on us as players and that's just how the business works sometimes. We got to wake up here."
McDavid did admit, however, it was a change that needed to be made.
"Todd was a guy that everyone liked," he said. "Ultimately, we're a team that's underachieving right now and no one likes where we're at, so the change is necessary."
Hitchcock, an Edmonton native, joins the club as the third-winningest coach in NHL history, and McDavid is excited to have him aboard.
"Obviously he's got a tremendous record, both in the NHL and in international play," McDavid said. "He's a guy that's got lots of experience and we're looking forward to it."
The Oilers enter Tuesday night sitting five points out of the final wild-card spot in the Western Conference, but just three back of the Vancouver Canucks for third place in the Pacific Division.