Josh Magennis headed Michael O'Neill's side in front in the 75th minute before Memphis Depay levelled five minutes later, and the Dutch needed stoppage time to secure a 3-1 win though Luuk De Jong and Memphis again.
The two sides meet again next month in Belfast, with Northern Ireland needing victory to keep their slim chances of automatic qualification for Euro 2020 alive.
"It's not a given," Wijnaldum said. "We know it is going to be a difficult night and even more so now we have played them here."
After being polite about Northern Ireland's tactics in his post-match press conference, Holland coach Ronald Koeman saved some more scathing remarks for Dutch television.
He told NOS: "It is outrageous, the football they play, but it is allowed and they get the most out of their qualities. I respect that, but it is terrible to watch."
However, it nearly worked and Wijnaldum knows Holland will need to have better answers next month.
"It was uncomfortable but it's because they made it difficult for us with the style they were playing," he said.
"They were really direct, playing the long ball and winning the second ball.
"They dropped real deep and tried to make it almost impossible for us to play the football we like to play. And they did it really well."
Victory for Northern Ireland next month would see O'Neill's men head to Frankfurt for their final qualifier against Germany still in with a chance.
Though the play-offs look like a better bet now, Leicester defender Jonny Evans said Thursday's performance gives them belief.
"It shows we can compete with these teams and we can be proud of certain aspects of our game," Evans said.
"The manager always looks at things to improve after the game but the most important thing is that we have come a long way tactically.
"The manager always has us well organised and disciplined. It was a different type of game we had to play and I thought we carried out that plan very well."
Before those final two qualifiers comes Monday's friendly against the Czech Republic in Prague.
O'Neill will make several changes, with Michael McGovern expected to start in goal.
The Norwich keeper came into the international window having recently made his Premier League debut at the age of 35, something he called a "special achievement".
It was McGovern's first league appearance for the Canaries since April 27. It has been a frustrating wait for a player who joined in 2016 with the goal of being first-choice, but he has had to bide his time behind the likes of Angus Gunn and Tim Krul.
He considered leaving in the summer before signing a two-year contract extension.
"I had to take things into account as well off the pitch," said McGovern, who believes training regularly with the likes of Teemu Pukki helps him continue to improve.
"It's a Premier League football club, you get well looked after, it's a good club. For me to turn down the opportunity to stay there would have been inadvisable. Not a good idea."
Krul and Ralf Fahrmann are expected to return soon so McGovern's stint in the side may be brief, but he has still played more football this season than Northern Ireland's established number one Bailey Peacock-Farrell, who has only made Burnley's bench once since joining in the summer.
McGovern would love to take his Northern Ireland shirt too.
"I think Bailey is a lovely fella and a great keeper," he said. "Obviously I would love to get back to the Northern Ireland position but it's not down to me. I can only control what I can control and train as hard as I can I train. That's all I can do.
"When you have possession of the jersey sometimes it is up to you to claim it back."