And he doesn't hide it. When he meets with the media after defeats, you can hear the frustration in his voice. You can see it on his face. His answers are typically direct and straight to the point.
But the star running back showed a different side after Sunday's lopsided loss to the Colts.
He passionately spoke about where the Panthers are at following their seventh consecutive loss, taking time to delve into some issues and deliver several strong messages.
"These are tough situations, and these are tough seasons," McCaffrey said. "At the end of the day, there is one team that's going to win the Super Bowl. When things go wrong it is really easy to start pointing fingers. It's easy to highlight certain guys. Make changes. This or that. At the end of the day, this happens. The 49ers I'm sure two years ago were having these same conversations (San Francisco went 2-14 in 2016 and 6-10 in 2017).
"I think every individual in the locker room has to do something – I don't want to say differently – but maybe elevate the preparation and the way you go about playing the game. Because collectively we are not getting it done. That's just the facts. The frustrating part is that we can get it done. We know we have the guys to do it. You have to approach it a certain way."
McCaffrey, who finished with 173 total yards against the Colts, then went on to explain what he meant by the right approach.
"There's a good saying Coach Rivera used to say, 'Be where your feet are.' I think when everybody approaches it like that, good things happen," McCaffrey said. "But you can never think about playoff runs or Super Bowls. You just have to control what you can at every single moment. Simplify your life and go from there. There has been so much talk about next year – we have a game left. We have meetings and practices before that. That's what we have to focus on. The more noise that gets thrown at us from outside, it's not helping us. It's inevitable that's going to happen, but we have to do a better job of controlling those noises and staying grounded and focused."
It's up to every man in the locker room to do their part. McCaffrey said his teammates deserve better, but everything in this league is hard-earned. That's especially true when it feels like you've hit rock bottom.
But McCaffrey, still in just his third season, sounds like a guy who knows it's his time to lead.
"I'm going to try be a leader on this team and make sure guys continue to fight and prepare," he said. "That's what I'm going to do. That's what I can control."