Three goals in 10 devastating second-half minutes saw the unfancied visitors grab their first away win of the Championship season at Selhurst Park.
Having watched on helplessly as the Iron scored almost at will after the break, a fuming Warnock said: "I hope the lads go home tonight as embarrassed as me. We can't play like that.
"I can't think of a bigger embarrassment in my career.
"All you can do is apologise to the fans who I thought were terrific. I would crucify the manager if I was one of them after that."
He added: "I don't think Scunthorpe have scored a good goal. I'm not knocking them, we absolutely put it on a plate for them. They must think they won the pools."
It was Scunthorpe's first win in four after three straight defeats, and came against a club they had never beaten before in the league.
The Iron's relegation from the Championship two seasons ago was confirmed by a 2-0 loss at Selhurst Park, but the North Lincolnshire side came back with a vengeance on Saturday.
The visitors were ahead early on when Jonathan Forte capitalised on a mistake by Danny Butterfield to round Julian Speroni and slot home.
Palace had looked like getting back into the game but, with 58 minutes gone, Paul Hayes doubled Scunthorpe's lead before Forte set up Sam Togwell to make the game safe eight minutes later.
Forte was the thorn in Palace's side again as he played the ball to Michael O'Connor, who finished well to settle the match. To compound Palace's misery, Sears saw a late penalty saved by Joe Murphy.
Scunthorpe boss Nigel Adkins said: "I was delighted to keep a clean sheet. It's the first time since pre-season that we have been able to work defensively as a back four. I've not had the defence that I wanted.
"It was great character from the players. We are newly promoted and have had some difficult results away from home. We lost 4-0 twice and had not managed to score.
"We changed our formation to be a bit more defensive and to give ourselves a chance going forward. With the players we have, we can score goals."