McLeish's men created a handful of chances in a game of limited clear-cut openings, but it was Blues' defending which impressed the boss.
"I know that any team from La Liga always has good technical ability and they can pass it well," McLeish told the club's website.
"We knew that when we didn't have the ball we had to be organised against them and I felt today we were much more organised and we also had some chances.
"We have worked on our shape but players have got to apply themselves within the shape because if they stop working it can break down.
"I think over the past couple of weeks we've had a little bit of misfortune in terms of injuries and players who are not fit yet who would probably make up our strongest team, but today I thought the players played really well.
"We were organised and they (Gijon) didn't really look as if they could open us up.
"There were one or two incidents but I felt that we had the better chances overall."