Ann Widdecombe said the Brexit Party's loss to Labour in the Peterborough by-election isn't "the end".
The party lost out on taking the seat by 683 votes, with Labour candidate Lisa Forbes crowned as the city's new MP.
However, Ms Widdecombe, who is the Brexit Party MEP for the south west, said the loss was "just the beginning".
"When you are talking about an eight-week old party coming within a few hundred votes of taking a by-election I don't think you're talking about things going wrong," she told talkRADIO's Julia Hartley-Brewer.
"Labour lost a vast share of their vote, similarly in both the Euro elections and council elections. Both major parties are losing votes to the Brexit Party and that is what we have to work on."
She continued: "I think this is the beginning of something quite new. Peterborough isn't the end, it is the beginning."
Ms Widdecombe revealed that the Brexit Party were now setting out policies on issues other than Brexit in preparation for a future general election.
"The party is very united around its aim and very disciplined in getting towards that aim," she said. "We're only just starting policy formation."
"We are working on it, and whenever a general election is called, we will have those policies and unite around them."
The defeated Brexit Party candidate Mike Greene admitted they had been unable to match Labour's established organisation in the constituency.
He was pictured giving a thumbs down behind winning candidate Ms Forbes as she gave her victory address.
Brexit Party leader Nigel Farage told talkRADIO he was feeling "buoyant", despite the loss.
"We’re eight weeks old today, we’ve gone into this by-election in Peterborough with zero data, with no history, with no councillors, nothing, and we’ve come within a whisker of winning it," he said.