Adkins' future has come under intense scrutiny in recent weeks as the club struggles to adapt to life in the Barclays Premier League after two successive promotions. The Saints travel to West Brom on Monday night still searching for their first Barclays Premier League win of the season.
Lallana said: "Whatever 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."
The Saints skipper added: "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."
The 24-year-old Lallana made his debut for Southampton under George Burley in 2006. When Burley departed in January 2008 the club went through another six managers, including caretaker bosses, until Adkins was appointed just over two years ago.
When asked what it was like to lose a manager Lallana said: "It is not too nice when it happens. At the minute and hopefully for the foreseeable future Nigel is the boss and I hope it stays that way."
Lallana, who was called into the senior England squad for the first time ahead of the World Cup qualifier against Ukraine in September, is relishing being the skipper of the side - even during such trying times.
"I just take it in my stride really, it is my first season of being captain and I don't really know what to expect," he said.
"We have had a tough start but I'm just trying to embrace it really because there aren't many 24-year-olds who are captain of a Premier League team and I just want to enjoy every minute of it."
Source: PA
Source: PA