"But when the coach sends you home by saying he's excited, you go to bed in a completely different mindset."
Anderson said McCullum, who has never coached at the international level before, brought his positive attitude throughout the test.
"That first day when we lost wickets, in years gone by we'd be too down about that and got worried and stressed," says Anderson, 39.
"But the message from the coach and captain was that we'd bowled brilliantly, fielded brilliantly, started great with the bat but in test cricket you do have ups and downs.
"There are times where the opposition does fight back so let's just park it and come back tomorrow and try as best we can.
"There's been a good vibe. I have enjoyed the positivity."
The second test starts at Nottingham on Friday.