The Lilywhites were beaten 2-0 at the Cardiff City Stadium, goals from Peter Whittingham and Kenneth Zohere in the first half hour putting the Bluebirds in command.
North End manager Grayson said: "It was a disappointing performance.
"I don’t think Cardiff have had to work too hard to win the game tonight.
"We’ve based our success this season on being a team that’s hard to beat who have worked, stopped the opposition and then played some attractive football.
"Tonight we didn’t play with a tempo, we didn’t defend well enough as a team, we didn’t ask questions of the opposition.
"We got nothing out of the game and that’s probably what we deserved.
"We can’t afford to give teams easy starts and two-goal starts like we did tonight and like we did against Aston Villa.
"We can’t keep coming back from those situations."
It was only North End's fourth defeat in 20 Championship games and their best chance of salvaging something came in the opening spell of the second half.
Four chances fell their way but they were not taken.
Grayson said: "The second half was an improvement because we worked harder.
"You know what to expect against Neil Warnock’s teams.
"He has his players running, tackling and asking questions of you and there wasn’t enough of our players who were able to compete against them - that’s disappointing.
"In the second half we got on top a little more and played a little more like us but we gave ourselves a mountain to climb."
Preston did three pieces of outgoing loan business in the last few hours of the transfer window, with Eoin Doyle joining Portsmouth, Liam Grimshaw going to Chesterfield and first-year pro Clive Smith heading to Scottish Premiership outfit St Johnstone.