The 24 year-old has started all nine of the Club's league fixtures since returning to the top-flight, but has only tasted victory once so far.
However, speaking ahead of Monday's trip to West Bromwich Albion, Lallana insists he is rising to the challenge of skippering the side as they look to improve upon their start to the campaign.
"I take it in my stride," the midfielder told the press this afternoon. "This is my first season as captain so I don't really know what to expect.
"We have had a tough start, but I'm trying to embrace it and enjoy it. There aren't many 24-year-olds captaining Premier League teams, so I want to enjoy every minute of it.
"Maybe I've had to grow up a bit quicker and be a bit more mature – being captain, you've got to be a role model for not only the young players but all of your teammates.
"I feel we've got quite a few experienced lads in the dressing room, so they help me out.
"I'm just proud to be the captain and to have been given that responsibility by the manager.
"We're not where we want to be, and we all know that," Adam continued.
"We need to start climbing the table and gathering points, and that starts on Monday night against West Brom.
"We've been concentrating on the basics because a good away performance could change your form around.
"We're confident we can go to the Hawthorns, get a result and start picking up points to climb the table."
Click here to watch Lallana's pre-match press conference in full on Saints Player and here to watch his one-on-one interview