Defeat in the Worthington Cup Final and Sunday's FA Cup loss at the hands of Chelsea has hit players, management and fans alike very hard.
But Ledley reflected: "We've definitely taken a big step in the right direction this season and I'm sure that will continue.
"Our aim for the season was to get into Europe and we are still aiming for that.
"You could only say that the season has been positive.
"The new management have come in and helped us all. They've got us passing the ball and playing great football.
"The new players have helped as well and it's only the first season. It's a long-term plan and it's all about building."
Glenn Hoddle and the lads have shrugged off talk of the season being over and are determined to push on for European qualification via the Premiership.
Ledley said: "Obviously I was gutted with the final and bitterly disappointed again against Chelsea but we all know that's what football's about.
"Cup games are all about winning and losing and it's something we have to face.
"We can't dwell on it. We've got games around the corner. We've still 30 points to play for in the league and we want to get as many points as we can and continue pushing on."
That starts at Stamford Bridge on Wednesday and Ledley added: "We haven't had too long to dwell on Sunday. We've another game on Wednesday and it's a chance to put things right."
It's nice that we've got the chance to play them straight away. It gives us the chance to show what we can do.
Ledley King believes this season has been a big hit despite our two recent cup setbacks.