Coventry picked up their first Premier League points in 25 years thanks to Jay Dasilva’s 55th-minute winner away at Nottingham Forest’s City Ground.
Lampard’s side have now moved ahead of Tottenham into 18th as we head into the September/October international break.
Speaking to Sky Sports after the game, Lampard believes his side can really kick on after a win that was "huge mentally" for the team.
"I feel great, I feel amazing. The way the players worked for it. Tough place to come from; we knew that having lost our first four games all in different circumstances, it's easy to think negatively and think, where is the goal and where is the win coming from?" he said.
"The reality in football is you have to fight for it, you have to work for it, you have to have organisation.
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"I can go through so many players today and how they worked. You make your own luck with VAR. I think it was a foul, but when you work that hard, I think the boys deserve it. It's huge mentally for the team.
“We are a team with a lot of players having their first stint in Premier League football. Not everyone is a Wayne Rooney or a superstar that can just own it. This can now hopefully give us confidence. The boys today have shown they can do it.
"We know their system really well. We have played a couple of good teams and maybe gone a bit more direct than we wanted to, so we tried to set up to give ourselves a chance to play against them.
“The first half we played well, and I just wondered if we had enough conviction to score a goal, and that's what I said to them at half-time, and Jay (Dasilva) popped up.
"I was worried. I went back to the bench, and they said it looked like he'd stumbled, but as they took time on it, you can see he has that step on him, which puts him off balance, and it's a foul. It's VAR getting the right decision."