The newly-promoted side were handed a tough start to life back in the top flight, with fixtures against Arsenal, Manchester City and Manchester United in their opening four games.
Unsurprisingly, the Saints have failed to secure a single point from those games, scoring five and conceding 12 in the process, while also losing to Wigan Athletic at St Mary’s.
But Lambert, who scored 27 goals in 39 appearances last season, is adamant Southampton must keep the faith ahead of a vital clash against Aston Villa next Saturday.
“We have learnt a lot in a short amount of time,” said Lambert. “I would like to see what points other teams will get against City, United and Arsenal. We can’t be too down.
“Arsenal had a couple of players we couldn’t handle. They scored early and got better.
“It was obviously a very bad day and that might happen sometimes. But it’s how we react and how we come back next week against Aston Villa. Our season will start now – it’s about keeping belief.”
Southampton suffered a 6-1 drubbing by Arsenal at The Emirates on Saturday, and Adkins admitted the Saints always knew their opening set of fixtures were going to be tough.
“Arsenal were very good. At times they were exhilarating as they have been many times here, it was a lesson for our players,” Adkins told BBC Sport.
“If you give quality players time they will hurt you and that’s what happened. We turned it over far too cheaply.
“We knew these first four games would be tough, we haven’t got any points but we will get ready for next week and now we have to start getting points on the board. This is a ruthless division.”
MORE: Latest Man Utd news
MORE: Latest Arsenal news
MORE: The latest football news