The Austrian international lasted just 45 minutes on his Wolves debut before suffering the anterior cruciate ligament injury to his knee, which will likely see him sidelined for around nine months and make it highly unlikely that he features again this season.
Having just moved to a new club, in a completely new country, the injury is a huge blow to a player that Wolves hoped would solve their goalscoring woes.
Although Lage says the player is staying positive after having successful surgery on his knee, the head coach says the club and Kalajdzic's new team-mates are wholeheartedly supporting him through the process.
"I offered him a book for him to read," Lage said.
"When you have bad feelings, you have a book and you can spend your time reading. I think it's a good book and I read it in my holidays.
"He has more time (to read it), so I offered it to him and to Chiquinho.
"It was a hard day. We had our first victory playing with a striker in the box and we could see the dynamic he gave to us.
"We scored one goal and at half-time I received a message from one of my assistants that he doesn't feel comfortable, but it's nothing special.
"That's why I said to you at the end that it's nothing special and I left the press conference and then received the worst news.
"I was here with his family and wife, talking about the big challenge and everything that was new, he accepted the challenge to come to the Premier League and play against these teams, and he just played 45 minutes and now he has a long period in front of him to recover.
"You can see the emotional side, but this is life. If it was me, I'd be sad for at least one or two days, but in football you don't have time.
"He's been here every day and everyone is giving him big support. He keeps saying 'I'll be ready soon', and that's important for motivation."
"Good feelings around him can help him in his recovery."