Lyon picked up the save on Opening Day in Cincinnati, but in the season's second game, he gave up a three-run, walk-off homer to Edwin Encarnacion.
After pitching well in a non-save situation Saturday night in Colorado, he was unable to hold a 2-1 as he allowed a home run by Matt Holliday. The D-backs rallied to win the game, 5-2, in 10 innings as Rockies closer Manny Corpas had struggles of his own.
"It's the worst feeling because you feel like you're the one guy that lost the game," Lyon said. "You feel better if like Sunday we come back and win the game, but still you don't get the job done. You try to learn from your mistake and the next time you try not to make the same mistake. I think that's one thing I've been able to do in the past is not make the same mistake twice."
Arizona manager Bob Melvin, who chose Lyon as closer over Tony Pena and Chad Qualls, stands firmly behind him. Prior to Monday's home opener, Melvin said if there was a save situation that night he would give the ball to Lyon.
"There are some other closers going through some tough starts too," Melvin said. "He understands the situation and that we've got confidence in him. A couple of outings isn't going to take away from the fact that this is the guy that we expect to pitch the ninth inning for us."
That's just what Lyon wants to hear.
"There's so much failure in baseball that you have to be able to learn from the mistakes, recover and keep grinding it out," he said. "That's the only way you're going to have success."
Steve Gilbert is a reporter for MLB.com. This story was not subject to the approval of Major League Baseball or its clubs.