Depor returned to La Liga this season after securing promotion from the Segunda Division last term, but they currently sit bottom of the table on four points.
Rodriguez, however, who is on loan from Real Madrid, has vowed that Depor's results will get better.
"The truth is we're not afraid of the pressure, nor we do have any nerves playing in this division," Rodriguez has been quoted by Inside Spanish Football.
"I think our last game was probably our worst so far and that's disappointing for us because it wasn't something that was a shock – it's been in the offing on a number of occasions now."
Next up for Deportivo is a clash with Valencia next weekend.