The defending Spanish champions have won their last two competitive fixtures, triumphing 3-2 against Manchester City in the Champions League and 2-0 against Rayo Vallecano in the league.
"We need to win three consecutive matches for the first time in the season," said Mourinho. "We're playing at home.
"Deportivo are a great team who plays well, with ambitious people who know what they want to do and play with the pressure of knowing we are the favourites.
"So it's a big match for them. We have to begin well, not think about other matches, and if the players come out really strong, I'm sure that it'll be easier to get the three points."
Madrid have picked up seven points from five matches so far in the league.