The Three Lions made the perfect start against USA on Saturday evening courtesy of Steven Gerrard's well taken early goal.
However, England failed to add to their advantage and gifted Bob Bradley's side a leveller when Rob Green spilled Clint Dempsey's harmless shot.
England missed good second half chances through Heskey and substitute Shaun Wright-Phillips and the Aston Villa hit-man knows things must improve.
Heskey was clean through with his chance and he credits USA keeper Tim Howard for spreading himself and adopting the perfect position to block his effort.
"It was a bit of a frustrating game but we kept plugging away and created chances," said Heskey.
"It was just disappointing that we didn't take some of the opportunities that came our way. The final ball wasn't as good as it should have been.
"With my chance in the second half, the keeper (Howard) stood up quite well.
"I just tried to get as much power behind it as possible because these balls do move around.
"He has done well but he is lucky it has caught him right in the midriff but we kept plugging away and kept creating chances.
"Wazza (Wayne Rooney) had a shot which looked it was going in but at the last minute it swerved a bit and went wide. That is what these balls do."
Heskey was one of England's stand-out performers on Saturday with excellent hold-up play while he also won countless headers against USA's defence.
The experienced striker made England's 23-man squad due to his partnership with star man Wayne Rooney and the 32-year-old believes the pair have an excellent understanding.
"Whoever plays up front, you've got to have a good understanding," he continued. "In training we work on it so we are prepared for every game.
"I think as a team we were pressing quite high up the pitch, and we got the early rewards from that, so we have to keep doing that.
"I just wanted to get hold of the ball, bring players into the game, and we managed to do that.
"There is more to come from England. You always want to get off to a good start and this was a reasonably good start.
"We've got to keep going, take the positives out of this game into the next game."