The Saints recovered from a 28-point deficit midway through the third quarter to hit the front at the 23-minute mark of the last, but were unable to snatch a win as Andrew Walker kicked a late goal to seal a three-point victory for the Blues.
"I thought there was a lot of encouragement with our intensity and our effort as the game went on," Lyon said post-match.
"Disappointed once we hit the front with four minutes to go, I just thought there were a couple of opportunities we could have taken to get another goal.
"But it wasn't to be, and there were other things to take out of it."
The 2009 and 2010 runners-up now sit 14th on the ladder after seven rounds, two games and percentage out of the top eight.
But Lyon says his team still has the belief it can turn things around, although how the team plays - not the end result - is the main focus.
"We've had a good run for a while and it's a test of our character," he said.
"We've been in deep holes before.
"And it's not just about the win-loss, it's about getting back to playing good football."
Lyon used defender Sam Gilbert in a run-with role on Blues champion Chris Judd in the first half, and the Carlton skipper managed only nine disposals to half-time.
But Gilbert shifted to defence after the main break, and Judd became a bigger factor in the game, picking up 18 second-half touches.
The St Kilda coach defended the decision to move Gilbert away from the dual Brownlow Medallist.
"I just thought we had others to go through [the midfield]," Lyon said.
"I think the end result is Sam really got up and going in our back six.
"They were scoring quite easily, so that was a part of it.
"It was a bit about, move Goddard into the midfield, steel our defence.
"And I thought Sam improved as the night went on."
St Kilda next faces fifth-placed Hawthorn next Sunday at the MCG.
