The France international joined the Spanish champions in 2009 and struggled in the 2009-10 season.
"The coach has worked with me on the mental side of the game," Benzema told UEFA's official website. "Now I am stronger in that regard.
"I have had many ups and downs in Madrid, but I am still here. Mourinho is a great coach and very supportive.
"Pressure has been part of my life since I was at Lyon, but here it's more intense because I'm at the best club in the world."
Benzema has scored one goal in eight La Liga games so far this season.