The lead changed hands several times in a ding-dong scrap between the reigning champions and big-spending Ulster at Ravenhill.
Ulster victory delights McLaughlin
Ospreys fly-half Dan Biggar scored a try and booted 16 points in a 100% kicking display, but still saw a high penalty count go against his side as they squandered the chance of a valuable away victory.
"It was very frustrating and certainly a game we should have won," said Biggar, whose side are bottom of the table on minus three points, having started the season on minus four for failing to field a side in last season's corresponding fixture
"When you go ahead three or four times you should win.
"Our discipline was extremely poor and cost us the game.
"I was in good kicking rhythm, but it was just extremely disappointing."
Ulster were the better side, they were more cohesive
Ex-Wales captain Jonathan Davies
Collins, leading the side in the absence of new skipper Alun Wyn Jones, added: "We made enough chances to win it.
"At least we started with a point away from home, we'll try to build on that in the next two games at home."
But former Wales captain Jonathan Davies says that the Ospreys did not deserve the victory.
"Ulster were the better side, they were more cohesive," he told BBC Wales' Scrum V rugby programme.
"The Ospreys gave too many penalties away and lost patience.
"Collins was excellent again and Biggar had a fine game, but Ulster had the edge.
"It was a fine game under the new laws, so much quicker than last season."
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