The Saints have in fact lost all three of their matches in the top flight so far - a statistic that has left them rooted to the bottom of the table.
However, striker Lambert has revealed that "the spirit is still high" within the dressing room.
"The difference between the leagues is any little mistake is a goal. In the Championship you can get away with it, but since we started in the Premier League, we have been punished every time," he told BBC Radio Five Live.
"I am used to 4-4-2 and we are playing 4-3-3 this year, so it is different for me as a single striker. It worked against the Manchester clubs, and we are improving with every game after working so hard on the formation in pre-season.
"The spirit is still high. We have not been battered in any games and have taken confidence from each game except the Wigan game."
Lambert has scored two goals this campaign.