The Saints has collected just a single win in nine games and are currently next to bottom in the Premier League table.
But Lallana, the 24-year-old skipper of the south coast club, says the squad are firmly behind their boss.
He said: "Whenever a team is in the bottom three their manager will be under pressure, or at least the media will think that.
"There has been speculation since the start of the season about who was going to be the manager and ifs and buts.
"As a player you just get on with it and do as best as you can, not just for yourself and the team but for the manager as well.
"He (Adkins) got back-to-back promotions so has got to be given great credit for what he has done already and we all respect that.
"Hopefully for the foreseeable future Nigel is the boss and I hope it stays that way."