But the Ospreys responded magnificently to beat defending champions Leicester in a repeat of last year's final and become the first Welsh region to lift the trophy.
Jones said: "You are going to get thunderbolts in a season and we took a kick in the pants last week but we came here today knowing exactly what we had to do.
"They are horrible experiences but you have to go through them to appreciate what it is all about. It is part of growing up. We have won a couple of league trophies but to win a cup is a lot harder and we are absolutely delighted today.
"As a coaching staff we were very apprehensive going to Saracens last week but this week we were quite confident what would happen.
"Our boys have played Gloucester and Bourgoin to qualify for the quarter-finals of the European Cup, they have won the Grand Slam. When you are playing at the highest level all the time you are going to have a dip.
"We needed it to realise what the things we are working for actually mean. There was a very positive attitude from everyone today.
"Coming here I knew we were going to win and it was a comprehensive performance from one to 15.
"It is a process. If you keep improving then one day you will cross the line."
Leicester took an early lead with a penalty and drop goal from Andy Goode - but Andrew Bishop and Alun-Wyn Jones scored either side of half-time for the Ospreys and James Hook kicked 13 points.
Leicester, double-winners last season, were outplayed by the Ospreys and now face a crucial Premiership game at Bath on Tuesday to keep their campaign alive.
Captain Martin Corry admitted: "It is a very unhappy dressing room. When you come to occasions like this you want to put on your best show and today we didn't.
"We were far from it, in everything. How we were in attack, in defence, at the breakdown. Every facet of the game.
"They were the better side on the day.
"We have a game of huge proportions on Tuesday and have got to get over this very quickly."