The Blades travelled to Middlesbrough unbeaten in their last five Championship matches, whereas pressure was growing in Neil Warnock after just three wins this season.
But the hosts defied the form book with an excellent all-round performance for a 2-0 win.
Jokanovic was unhappy with his side, but not getting things out of context.
"In this sport you sometimes make steps backwards and definitely we didn't do our job well enough but don't be depressed, be positive and we can have another chance to wash our face," he said.
The Blades are at Bournemouth on Saturday.
On his side's performance, he reflected: "We didn't play a good game, especially our start was so slow. They won all the second balls had the energy and the power.
"We played a lot of balls backwards and didn't find the space to turn. We expect this kind of situation but I expected us to try and run the spaces and be more dangerous in the offensive side.
"They were stronger than us and we found a lot of difficulties in the second half.
"We had some situations where we could have come back in the way but we didn't find a way to come back.
"A Tuesday night in Middlesbrough is really uncomfortable.
"We didn't find enough space and weren't comfortable with or without the ball.
"It's important to continue the process. You can make some positive steps but you can expect some steps backwards.
"Today we didn't show any progress."