A steely defence and wayward kicking from the Pies saw the Saints prevail by 28 points in a gruelling clash at Etihad Stadium.
St Kilda captain Nick Riewoldt injured a hamstring, while defender Sam Fisher and midfielder Lenny Hayes sustained head injuries but played on in what O'Brien said was an "intense game of football".
"I'm certainly feeling the consequences of that," he told BigPond Sports Weekend on Saturday.
"Just from the word go, before the ball was bounced, the intensity was there.
"That's the way finals football will be played, so it's good for our players to get a taste of that early."
O'Brien said it was sad to see Riewoldt go down with what appeared to be a serious hamstring injury, while Fisher and Hayes' efforts were admirable.
Hayes ran back with the flight of the ball and collided with teammate Steven King, while Fisher was knocked out and left the ground on a stretcher after a heavy clash with Magpie Leon Davis in the third quarter.
"It's fantastic to see a player with so much courage and eyes for the ball," O’Brien said of Fisher, who returned in the fourth quarter to have another five possessions.
"That's the reality of football, there's going to be collisions.
"You wouldn't expect anything less from Lenny Hayes. He's been doing it from day one of his football career."
Collingwood kicked 4.17 for the match and 0.9 in the second half as St Kilda overcame the loss of its skipper to boot six second-half goals in a gutsy win.
"It is a mental thing and we'll get over it," O'Brien said of the Pies' goalkicking woes. "The positives do outweigh the negatives.
"It comes down to a belief and if you believe you're going to kick the goal. That's something we need to work on.
"There are so many different external influences which can diminish that belief. We have to find a way to increase our belief in being able to kick the goals. I've got no doubt we'll be able to."
