The Bantams, who have not scored a goal in their first four league and cup matches this season, had been given the chance to take the lead in the 36th minute when Shane Clarke handled inside the box, but Lincoln keeper Rob Burch saved Michael Flynn's penalty.
Chris Brandon and Peter Thorne also had shots blocked and James Hanson saw his effort turned away for a corner, while Rene Howe and Chris Fagan netted for the Imps.
"I thought their keeper made outstanding saves in the first half and it was an outstanding save to keep out the penalty, but we made enough chances to win two or three games but didn't take them," said McCall.
"We were under no pressure in the first half and we coped with everything they threw at us. We looked comfortable and if we had taken our chances we could have been 3-0 up at half-time.
"The first goal was always going to be important and goals change games. You take your chances and you win the game. We were jittery at the start of the second half but credit to the players, even after we went 2-0 down, their heads did not drop."