The Reds lost 2-1 despite playing well and creating a number of chances throughout the match.
An injury time Billy Sharp penalty proved little consolation as a Chris Burke brace sent Forest back to Nottingham with nothing.
McLeish made four changes to the side which lost at home to Watford with Guy Moussi coming in for Simon Gillett, Dan Harding for Elliott Ward, Andy Reid for Simon Cox and Darius Henderson for Dexter Blackstock. Meanwhile, new keeper Khaled Al-Rashidi made history by becoming the first Kuwaiti to be named on an English subs bench.
Forest had the first sight of goal after good work between Henderson, Sharp and Chris Cohen - the latter producing a comfortable save from Jack Butland on three minutes.
Five minutes later, new Blues signing Wes Thomas crossed for an unmarked Marlon King but the striker’s volley was wayward and easily blocked by Greg Halford.
But the best chance of the opening stages fell to Sharp on 13 minutes. Cohen did well to control the ball in midfield before supplying the striker who switched onto his left before looping an effort over the bar from 18 yards.
On 20 minutes, Karl Darlow had to be on hand to turn around Curtis Davies’ effort after a dangerous Rob Hall free kick, and the keeper appeared to be involved again two minutes later.
Moussi’s misguided header allowed Burke to thread the ball in to the area. King’s first touch was superb but he failed to connect fully with a low right-footed drive which went out for a goal kick despite an apparent nick off Darlow’s boot.
But Forest responded immediately with two chances of their own in what was rapidly escalating into an end-to-end first half.
Both involved Sharp who first turned away from his man on the edge of the area to fire a cross-cum-shot across goal which was well cleared by Paul Robinson.
Minutes later, Henderson played Reid in to the left side of the box. The midfielder did well to dig out a first time cross which Sharp met at the near post and flashed his header across goal and agonisingly wide of the post.
In typical fashion, Birmingham went down the other end and created a golden opportunity of their own. Thankfully for Forest, Harding was perfectly positioned to halt Thomas as he latched on to an inch perfect through ball to bear down on goal.
The game hit a bit of a lull before the visitors called Birmingham’s highly-rated stopper into action twice in quick succession.
After Henri Lansbury was fouled 24 yards from goal, Reid’s outswinging free kick found Halford on the stretch but Butland dealt with it at his near post.
The ball was in his arms again a minute later after Reid had hit one first time on his left from 25 yards.
But it was Birmingham who had the last laugh of an entertaining half as Burke’s injury time curler beat Darlow from distance before hitting the bar and bouncing back off the ground and into the net.
That was harsh on McLeish’s men who had been the better side for large parts of the opening period.
Birmingham came out for the second half in spirited fashion and after Lansbury conceded a foul in a dangerous crossing position, Darlow had to be alert to block Hall’s delivery after it had come through a crowd of bodies.
At the other end Forest reminded their hosts of their threat as Greg Halford rose highest to meet Reid's corner on 51 minutes. His header lacked control, however, and went over.
The pattern of the game was reestablished as Birmingham went down the other end and King pulled his shot wide of Darlow’s far post after advancing into the box.
And on 55 minutes it was Forest’s turn again as Reid drifted a ball over for Sharp to send back in the direction of Henderson. The target man couldn’t find enough power in his header to beat Butland, however.
Moussi, who had made an encouraging return from injury, was then replaced by Radi Majewski as McLeish looked to provide his side with a creative spark.
But it was from a much more route one approach that Forest nearly leveled near the hour mark.
Danny Collins’ free kick was nodded down by Henderson, Sharp controlled and showed good strength to hold off a defender, spin on the spot and shoot - but it lacked power and was easy for Butland.
But when Collins was robbed by Thomas on 68 minutes it looked certain the striker would mark his St Andrew’s bow with a crucial goal. But he almost had too long to think about it before curling wide.
A manic period of play ensured as Forest upped their efforts in pursuit of an equaliser.
Dan Harding found himself with the ball in Birmingham’s box on 70 minutes. He laid it off for Cohen who produced a good save from Butland.
From the resultant corner, Majewski kept his shot low after meeting Reid’s drilled delivery only to find the keeper on hand again to save well.
The next corner was cleared and Redmond’s pace took him away down the left. The substitute was through one-on-one but lost his composure and flashed his left-footed shot hopelessly wide.
But Redmond was too hot to handle on 80 minutes when he jinked to the byline and crossed low to provide Burke with his second of the afternoon.
Five minutes later, Sharp found Butland in impassable form again as his shot from inside the area was held.
But the striker did provoke a nervy finale when he won and dispatched a penalty in the third minute of added time.
Despite Forest’s best efforts, it wasn’t enough and the game ended 2-1.
Forest: Darlow, Jara Reyes, Halford, Collins (c), Harding, Cohen (Blackstock 83'), Moussi (Majewski 56'), Lansbury, Reid, Henderson (Cox 71'), Sharp
Subs not used: Al-Rashidi, Gillett, McGugan, Ward
Scorer: Sharp (pen) 90'
Birmingham: Butland, Caldwell (c), Davies, Burke, King, Gomis (Reilly 64'), Elliott, Thomas (Zigic 72'), Caddis, Hall (Redmond 53'), Robinson
Subs not used: Doyle, Mullins, Lovenkrands, Hancox
Scorers: Burke 45', 80'
Booking: Gomis 61'
Referee: Darren Deadman
Attendance: 17,738 (Away: 1,963)