Ally McCoist's side crashed out of the William Hill Scottish Cup in shocking fashion as they slumped to a 3-0 defeat at Tannadice.
It follows a number of below-par performances in the Irn-Bru Third Division this season and Little knows they have been far from good enough.
He said: "I would say the dressing room was as low as probably it has been all season.
"I felt embarrassed, humiliated during the game, especially in the last five or 10 minutes. It was really disappointing.
"We have talked about it ourselves, we have talked about it with the manager. We now maybe realise that we are not as good as people said we were or we thought we were.
"At the end of the day, we are out of the cup now and we have to focus on the league, try and right the wrong we have done in the cup and put on a show for the fans and win the league as quickly as we can."
He added: "I have never felt as embarrassed in a game, and a game we were so up for and that meant so much to the whole club. I think we let ourselves down.
"At the same time, on a positive side, we have got to look to go and win the league and put on the performances.
"Our aim at the start of the season was to win the league and we are on course to do that."
Despite McCoist recruiting a number of SPL stars to Ibrox during the summer, the Gers have rarely hit the heights expected of them so far this season.
And Little admits few players deserve pass marks from a below par few months.
He said: "We have been very, very poor lately, but we have to get the fans, who have been brilliant, something to celebrate and enjoy in the last few games of the season and try and win the league as quickly as we can.
"It is definitely hard to play at Rangers the pressure that is there.
"Big players, not necessarily this year, but in years gone by, have come here and haven't been able to cope with it.
"I don't know whether that is the case or not.
"To a man, there have been very few good performers all season."
Meanwhile, Rangers will provide training facilities at Murray Park for Juventus next week ahead of their crucial last-16 Champions League showdown with Celtic on Tuesday night.
The agreement was reached after Gers chief executive Charles Green and head of football administration Andrew Dickson met his Italian counterparts at the European Clubs Association conference in Qatar last week.