"We took them lightly and took the game for granted," McDavid told reporters following a 6-3 defeat. "When one doesn't go well, you've got to shake it off and keep going."
Oilers head coach Ken Hitchcock echoed his captain's sentiment.
Edmonton missed an opportunity to gain ground in the Western Conference playoff race against the moribund Devils, a team that sits third last in the East and was missing several key players to injury.
New Jersey rebounded with the victory after blowing a two-goal lead and allowing Johnny Gaudreau to erupt for six points in a 9-4 loss to the Calgary Flames on Tuesday night.