The Bantams have it all to do in Friday’s return leg at Millwall after crashing to a 3-1 defeat at Valley Parade on Sunday.
McMahon gave City the lead from the penalty spot only to see Lee Gregory cancel his strike out within 93 seconds. A Steve Morison header and Joe Martin’s exquisite free-kick then put the Lions firmly in control of the tie.
Despite that, McMahon is adamant that Bradford have proved time and time again this season an ability to cope with adversity.
“We have had obstacles throughout the season and overcome them,” he said. “We have done that both as individuals and as a team. That is part of our character.”
Sunday’s loss at home to Millwall was McMahon’s first experience of the play-offs. He previously missed out on taking part in the promotion deciders when at Sheffield United through injury.
“I had watched the play-offs down the years and wanted to be involved in such massive games.” added the utility man.
“At Blackpool, it was a relegation battle and my time at Middlesbrough saw us doing great until Christmas but then the season went off the rails a bit.
“Sheffield United did get there (in 2013) but I missed out. I got injured just before the first leg against Yeovil.
“I missed that (1-0 win at Bramall Lane) and also the away leg but I was in the stand for them both. The thing that sticks in my mind was seeing all the Yeovil fans on the pitch celebrating getting to Wembley after the second game and all their players jumping up and down.
“I don’t want to go through that again, definitely not. Hopefully, we can progress against Millwall and not have to go through that again.”