The Belgium international, who moved to the Premier League giants from Everton for £75m in the summer, has only managed to find the back of the net twice in 12 games.
The forward has failed to recreate his early-season form that resulted in 10 goals in his opening nine matches for the Red Devils.
At the weekend, Lukaku ended up playing a hand in both of City's goals from close range as he was unable to clear his lines while defending free kicks.
"You look at him and he struggled," Neville told Sky Sports News. "I'm not just talking about struggling in terms of missing a chance, he struggled at being in the game and being confident in the game.
"He's got to get over that quickly as he's Manchester United's centre-forward. He's a young lad but he needs to get to the point where he believes he should be out there - it's like he doesn't believe it in this period."