The Magpies secured an immediate return to the top flight under the Spanish coach last season as Championship champions.
Newcastle currently sit ninth in the Premier League table having won three of their opening seven matches.
"We're doing really well. The start to the season has been hard as we've needed to adapt ourselves to this league," Perez told Sky Sports News.
"But we've still done really well, we're ninth in the table and we're playing good football, that's the most important thing. Under Rafa, we're doing a great job, so we're happy with that.
"My relationship with Rafa has been brilliant, I've learned a lot from him. To be honest, I always try and improve myself, but under Rafa you're always going to improve.
"It's been a great start to the season, he's given me a lot of confidence, which is important for a player. I'm feeling really good on the pitch."
Up next for Newcastle after the international break is a trip to Southampton in the Premier League on October 15.