When Bismarck Du Plessis went over to put the French side 22-0 ahead in the second half at the Altrad Stadium it looking ominous for the Dragons.
But they responded superbly, Hallam Amos and Carl Meyer both crossing for late scores as the Dragons finished the semi-final much the stronger.
And Jones was rightly proud of his players for the effort shown against a Montpellier side that currently sit second in the Top 14.
"There are lots of lessons to be learned," said head coach Jones. "I'm proud of the way they played, they stuck in there, and they weren't overawed by the occasion.
"It's one of the toughest places to come and play rugby, and we stuck in it to the end.
"I thought the bench were excellent, we've just got to take our opportunities with kicks at goal of course, and just a few penalties."
And after two away semi-finals in the last two years, Jones admits his side will need to improve their record in the pool stages in Europe to stand a better chance in the future.
"That's two years in a row that we have had to play an away semi-final so the biggest thing we learned is that we need to finish better in the pool stages," he added.
"You have to do well in your pool to make the knock-out stages easier. But I can't fault anyone's effort - a lot of young fellows grew up a lot and some of the senior players really stepped up.
"We kept on battling. We're all disappointed to lose, there has been a lot of work that has gone into this European campaign, a lot of blood, sweat and tears, but we'll learn from it."
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