McSheffrey signed goalkeeper Jonathan Mitchell, defender Ollie Younger, midfielder Adam Clayton and strikers Reo Griffiths and Kieran Agard on permanent deals in his first transfer window as Rovers boss.
Left back Ben Jackson, winger Josh Martin and striker Mipo Odubeko also joined the club on loan.
Despite the influx of new players, Rovers’ struggle for wins, goals and clean sheets continued and their relegation to League Two was all but confirmed by Monday’s draw at Shrewsbury Town.
Asked if his new signings had had the desired impact, McSheffrey told BBC Radio Sheffield: “A few of them. A few of them are turning up now, later on in the season.
"We wish a few of them had got a few more goals in February and March.
"I think Jonny [Mitchell] has done all right in goal.
"Josh [Martin] has done all right as a good loan, as well as the other loans throughout the season.
"I think a few of them have turned up and been good and a few haven’t delivered.”
Rovers’ lack of goals – they are the joint lowest scorers in the division with just 34 goals from 44 games – has been fundamental to their downfall.
Odubeko, who has scored in the last two games, has two goals in 15 appearances for Rovers, Griffiths has two in 14 and Agard failed to find the net in eight appearances before suffering a season-ending hamstring injury.
“We’ve said all along you want more goals from your strikers of course,” said McSheffrey.
"But you need more goals from midfield areas as well.
"Matt Smith’s had a really good season. He does lots and lots of good things but he’s had a really big chance a game of late so he really needs to get his numbers up and score more goals because he’ll have a really good career if he does.
“And a few others as well.
"It takes pressure off the back line as well, scoring goals, and especially scoring first.
"It’s been no secret where we’ve fallen short.”