The Magpies lock horns with Ralph Hasenhüttl's side on Tyenside (kick-off 2pm GMT) aiming to build on Thursday's impressive 2-0 win at Sheffield United as well as extending their unbeaten home run to seven matches.
Atsu, though, remains aware of the threat Southampton impose as the Saints go in search of a third successive league win following back-to-back home victories against Watford and Norwich City respectively.
Atsu said: "We lost some games, away from home, but we are playing very well and creating more chances. We are defending very well and we need to keep working hard. I believe, at the end of the season, people will see that we were consistent.
"Normally I don't like people tagging us as favourites because in the Premier League, there are a lot of surprises. Southampton are a good team and I saw the game where they won against Watford. They were down by a goal and came back to win which shows they are mentally strong and work really hard for the team.
"We need to be aware of that and go into the game with full intensity and the confidence that we have.
"The fans are fantastic in supporting the team. Playing at St. James' Park is very good and when the opponents come here, because of the noise and fans, they'd be a bit scared and they give us more confidence.
"I think they are beginning to realise that, with the team that we have, we can be very exciting with the likes of Allan (Saint-Maximin), (Miguel) Almirón and Joelinton. Everyone is working hard, supporting the team and we are winning games also.
"The fans come to the stadium and the atmosphere has been great. With this support, we can go far and hopefully our home form will continue."
The Ghana international has racked up 13 appearances for the Magpies this season - nine of those as a substitute - and the 27-year-old is targeting a regular spot in United's starting eleven.
Atsu, who has registered three assists this campaign, is also confident the forward line will kick on in front of goal as Allan Saint-Maximin netted his first goal for the Magpies against the Blades whilst Andy Carroll also provided an assist for Jonjo Shelvey's strike at Bramall Lane.
"I think it hasn't been bad for me," Atsu added. "I've played some games and made assists. I'm very confident and throughout this season, I've been quite happy with the points we have and the position we are in.
"Everyone has been contributing well in the team so I'm just trying to work hard and get myself into the first eleven. It can be tough when you're not playing regularly because it's likely you will lose your fitness.
"Those who are playing are going to benefit a lot because they will get more fit so you need to work extra hard.
"There's always pressure for forwards to assist or score goals. They are not scoring but I believe that the forwards' effort that they are putting in is very good for the team. They have been consistent in their defensive work and have been attacking well and also creating problems for our opponents."
