Pickford, who left the Stadium of Light for Goodison Park last summer in a £30m deal, told the Sunderland Echo that Sunderland have the experience to be able to remain in the second tier this season.
"It is obviously frustrating as a fan and as a lad who has been there all my life, they are in a bad situation at the moment," the goalkeeper said. "After my game on a Saturday the first thing I look at on Sky Sports is to see how Sunderland have done. "Even if I have won and Sunderland get beat I am a bit down.
"A few times this season Sunderland have got a result but then not managed to get another result on the back of it, in football you need back-to-back wins.
"There are 12 games left, a lot of points to play for and it is only four points the gap. "We will be alright, we have done it before."
Sunderland face Millwall in their next game on Saturday.