Referee Michael Oliver pointed to the spot after ruling Sky Blues centre-half Ben Turner had fouled Ebanks-Blake but the Championship's top scorer missed the chance to earn Wolves a point as Keiren Westwood easily saved his effort.
McCarthy said: "I think we deserved to get out of jail for our second half performance but we didn't deserve to get out of jail for the way we defended.
"We are letting goals in far too easily and if we continue to do that we won't progress any further.
"In terms of effort the players can't be knocked or in the way they played especially in the second half when we had enough chances.
"The opportunity to win something is in reach for them but they will never forgive themselves if we let it out of our grasp that's for sure."
The Sky Blues grabbed the lead in the 24th minute when Michael Doyle played the ball into Clinton Morrison.
The skipper bravely beat Wayne Hennessey to the ball to fire in a shot which hit a post - and Doyle reacted before the visiting defence to prod the ball in from close range.
It was no surprise that Wolves stepped up a gear after the break as Chris Iwelumo and Nigel Quashie had chances to level before substitute Sam Vokes made his presence count.
A corner from the left by Michael Kightly reached the Welsh international at the far post and he headed the ball in from close range in the 72nd minute.
But any thoughts from the 4,736 visiting fans that the leaders would go on and win the game were quashed when the Sky Blues regained the lead only three minutes later.
On-loan Sunderland winger Jordan Henderson played a great through ball to Leon McKenzie and he coolly struck a low, firm shot into the far corner.
Morrison forced Hennessey into a superb save as Coventry looked set to see out the game until the late penalty decision.
Coventry manager Chris Coleman said: "When you think you are about to have the result taken away from you, it makes it so much sweeter when you win.
"Had we drawn the game it wouldn't have been my players' fault it would have been the referee's because it's not a penalty.
"I have seen it again and I don't know how he can give it because he is behind a crowd of players.
"Luckily for us Keiren saved the penalty. He's a quality keeper. He's only young and he is part of what we are trying to build here.
"We don't have the same budgets as some other clubs but if we invest wisely we can build a team that might start pressing in this league next season.
"I was proud of my team. I thought they were tremendous and produced a really gritty performance."