Level on points with Manchester City at the top of the table and having played a game less than their rivals, Liverpool are still in the battle for the English top-flight title after 26 games.
But Jurgen Klopp's men are still gunning for Europe's top prize, too, as they welcome Bayern Munich to Anfield for the first leg of their last 16 Champions League tie on Tuesday.
The Reds came close to tasting European success last season when they reached the final of the continental competition and finished fourth in their domestic division, but Wijnaldum is confident they can triumph in both this time around.
When asked which of the two will be most difficult to win, Wijnaldum said: "Probably the Premier League because there are more games, and there are no easy games. The truth is we can both win, but both are very difficult. We have to believe it.
"Jurgen Klopp preaches to look only at it game to game. It's difficult because [the end of the season] is not far any more and everyone is talking about it.
"We also do not want to ignore that, it's normal for the environment. But as a team, we do not always deal with it. Once I asked my team-mates who Manchester City is playing against. They didn't know."
It has been two and a half years since the midfielder left Newcastle to join the Anfield side and he has since gone on to make over 120 appearances. And the Netherlands midfielder still remembers being inspired by Klopp when they first met, after getting over his fear of the coach's dog.
"Of course [I remember first meeting Klopp]! It was at his home in Formby near Liverpool," he added. "I remember that he had a big dog and I was scared of it, so he took him to another room.
"Nevertheless, it was a great meeting. He first asked me personal things: how my holidays were, how I am as a person. It was not about football right away. He really wanted to get to know me. That inspired me."
Ahead of Tuesday's first leg against Bayern, Wijnaldum was asked which member of the Bundesliga champions he would like to see in his side.
"Of course, as a Dutchman, I have to say Arjen Robben," he answered. "What a legend! You want to play against the best and beat the best. Arjen is definitely one of the best, he deserves to be on the big stage. I love him as a player and admire him.
"But in this game I want to win against him. I hope I can say after the final whistle: 'Sorry and good luck for the rest of the season!'
"Two world-class teams against each other – you need to just enjoy it and make no predictions."