The 24-year-old Croatia international was signed by Saints boss Mauricio Pochettino from Lyon in the summer and has adapted quickly to the Barclays Premier League, forming part of a stern defence which has leaked just seven goals - the best record in the top flight.
Although Southampton tasted their second league defeat of the season last weekend at table-topping Arsenal, they remain fifth in the standings and have been labelled this year's surprise package.
But for Lovren there has been nothing out of the ordinary as he continues to strive towards his dream of playing for Saints in the Champions League next year.
"I'm not surprised," he said when asked about Southampton's start.
"I was believing from the first day when I came here to Southampton that we can do an amazing job and be a part of the other big clubs.
"We have the confidence now and we need to work harder and that is it, after that I think we can be at the top.
"I think for everybody it is an ambition to play in the Europa League or Champions League, that is our dream.
"If I can choose of course I will take the Champions League, we need to just believe in it and we can make it.
"We have really quality players and we play really well for now. We need to play every week like this and then we will see where we are at the end of the season."
Southampton travel to Stamford Bridge to face Chelsea on Sunday, knowing a win would take them ahead of Jose Mourinho's Blues.
The 2-0 defeat at Arsenal was punctuated by a mistake by Saints goalkeeper Artur Boruc as he dallied in possession before being challenged by Olivier Giroud, who was left with the simple task of guiding the ball in to the unguarded net.
Lovren has defended his goalkeeper but knows similar hiccups can not happen at Chelsea if Pochettino's side are to avoid a second defeat in a row.
"I think now that mistakes happen every time, we are all people," said Lovren.
"It was a really stupid mistake but we didn't do anything special this week [in training], we were doing our job like every week.
"So we need to just keep our heads up and play our own game on Sunday.
"We are behind him [Boruc] because we are a team and we need to be all together in this, when we make mistakes we make them together not just as one.
"We need to be more concentrated this Sunday because it is a big game for us and for them also, it will be a tough game because Chelsea are a quality team but we need to play our own game and search for a win.
"It means nothing because everybody can lose. We were losing against Arsenal and they lost against Basle but I think we can expect a really good game on Sunday."
Lovren moved to St. Mary's in June for an undisclosed fee believed to be in excess of £8million.
Victor Wanyama and Dani Osvaldo were later additions to the squad, both commanding a higher transfer fee, but Lovren has undoubtedly been the star of the new trio so far.
The former Dinamo Zagreb man admits he is loving life in the English game and is pleased by what he believes are more lenient referees than in Ligue 1.
"I like the Premier league, I like the style of everything here," he added.
"I like the referees because you can tackle and you will receive maybe a yellow card where for the same tackle in France I would receive three years in prison!"