They have collected only four points from the opening 10 games and conceded 28 goals in the process and there is mounting speculation over the future of Adkins.
Davis said: "The manager tries to take the pressure away from us as much as possible and lets us try and concentrate on the football.
"We are all in the same position, results haven't been going our way and we are all under pressure
"We're all pulling in the same direction to try and put it right.
"We are all disappointed to be bottom and the results we've had so far.
"There's still plenty of games left - but we need to get points on the board as soon as possible.
"Everyone wants the same thing, to start winning games, and start moving up the table and we are all determined to do that."
Davis knows there has to be improvement at both ends of the pitch for the Saints to avoid a quick return to the Championship after achieving successive promotions under Adkins.
He said: "Monday night was similar to other games this season where for periods we've been on top.
"There have not been many games where we've been outplayed. That is frustrating but it gives us something to build on.
"It is important we tighten up at the back and take a few more chances and then hopefully it will come together.
"All you can do is get your head down, keep working hard and try and put things right what are going wrong on the training pitch.
"We've got a home game with Swansea this weekend and that is another good opportunity to get us going and get some points on the board.
"We are still confident can get out of this position, without a doubt. It is still early in the season but we know where we are at this point in time. We are in a fight."
Adkins is trying to remain upbeat despite Southampton's precarious position.
He said: "I'll stand out and lead from the front as I've always done.
"We are now faced with a great challenge, one we are going to embrace with positivity.
"We need to win games of football and, if I don't believe we can do it, then the players aren't going to believe we can do it. I believe we can.
"I believe we've got talented players. At the moment, maybe things just aren't going our way.
"But we've now played eight teams in the top 10 and I'm looking forward to the fixtures we've got at home because we've been very good at St Mary's over the last few years."