He has struggled to make a telling impact so far but impressed as a substitute in the midweek Carling Cup defeat against Bolton.
"We lost a couple of really good players in those two amongst others who left at the end of the season (Nigel Reo-Coker, Brad Friedel).
"But we've got players in and it's now a challenge for them to show that they can emulate these players."
McLeish came close to signing N'Zogbia when manager of Birmingham and is confident he will eventually show his true form.
He said: "Charles is a player who, for me, in the last two months of last season did a lot to keep Wigan in the Barclays Premier League.
"There's been some decent play from him with us. I thought he did well on his debut and against Wolves.
"But the final ball that we're used to seeing him delivering has just eluded him at the moment.
"He'll get that. He's looking much, much brighter, he came on the other day (against Bolton) and did well.
"He believes in himself. We've just got to keep believing in him."