The 16th-placed Villans are set to go head-to-head with the team directly below them on Saturday afternoon, with a victory key for either side if they are to pull themselves away from the relegation zone.
But Lambert is relishing the tense build-up and has backed the Midlands side to be at their best.
"I'd rather have the pressure than not," he told reporters.
"You've got to have pressure to perform and that is the making of football. If you have pressure on your shoulders every time and know you've got to perform, that is no different for the lads who are here.
"You have to be ready for it. The onus is always on the home team to make the running. If you win that, you might go up a couple of places but that is how tight the league is.
"You have to be ready for everything that is coming your way."
Aston Villa suffered an embarrassing 3-1 Capital One Cup defeat to League Two outfit Bradford last time out, but the Scot expects to see a reaction.
"We're feeling probably the exact same way the Aston Villa fans are feeling," he said. "They are hurt by the embarrassment of getting beat the way they did. We have another leg to turn it around.
|VILLANS STUN SAINTS
|8/1||Aston Villa are 8/1 to beat Southampton 1-0 with Bet365|
"It's a huge club with a huge fanbase. The fans travelled that distance and they had work in the morning.
"I'm really disappointed for them. The team is so close to got back to Wembley and we never turned up and never performed. We have got another chance to turn that round."
Lambert also called on his squad to remember the positive results they have secured this season and to use them as encouragement.
"That's just because of the defeats," he continued. "That's the same group that went to Norwich and Anfield and won.
"You can hide behind a lot of things and make excuses. I know the game and how it works and how it can go.
"I'm trying to be positive and trying to keep the team up the best I can and you need the crowd. I understand people's frustrations because I'd be exactly the same."