"I think the stage for us is too big, but it's good experience for the girls," Mkhonza said after his side went down 3-0 to Canada in Coventry on Saturday, their second pool match.
"We play well but we make mistakes and get punished, but when others make mistakes, we don't punish them."
The South African women's soccer team, ranked 61st in the world, was drawn against three of the top seven sides in the world.
Mkhonza said the team had been unprepared in terms of spending time together.
"Firstly, we should have to started preparing earlier," he said.
"We only started preparation on September 1, after we had qualified.
"We had problems due to some of the girls still being at school, but we need to start earlier to be ready to play these high quality teams in the future."
He said African soccer would not close the gap between them and the rest of the world unless they put more emphasis on women's soccer.
"In Africa, the biggest problem is that most of the countries do not take women's football seriously," he said.
We need more games
"You only have to a play a few matches to qualify (for the Olympics) whereas in Europe they play a lot more.
"We have to play the big teams more often to be able to compete against them."
Mkhonza added that while they were disappointed with the results, the experience of playing against the top teams in the world would pay off when they compete in the African Women's Championships (AWC) later this year in Equatorial Guinea.
"The experience we've gained will put us in good stead for the AWC," he said.
"I think we'll do much better than we have at the moment."
Banyana's next match is on Tuesday against world champions Japan.
"We came here looking forward to playing all of these teams so we're not going to give up." – Sapa