The U's won 2-1 but were trailing to a wonder goal from Scott Wilson after 2 minutes.
Macclesfield thought they were going to hold on to win but Sutton had other ideas on the night.
With five minutes to go Moses Emmanuel found the breakthrough.
Then, seconds later, excellent Tommy Wright the young attacker whipped the crowd up by scoring a low but precise winner.
Assistant Macclesfield manager Watson cut a frustrated figure after and hopes his team pick themselves up quickly after their first defeat of the season.
"When you are defending that many balls in the box it becomes very difficult," said the former Newcastle United FC defender.
"One or two are always going to drop and that's what happened.
"We were hoping we were going to be able to hang on but it wasn't meant to be.
"The most disappointing thing for me is the fact that we conceded so quickly after they made it 1-1.
"We scored a smashing goal early on in the game and we couldn't get a second which is a shame.
"But we've got to move on from this now because we have a lot of important games coming up."