Goals from Jermaine Jenas - his first at this level - and substitute Shaun Wright-Phillips ensured the Capello era got off to a winning start at Wembley.
Gerrard told BBC1: "We know we can play better but we've worked with the new manager for two or three days.
"He wanted a winning mentality, he wants us to get back winning, so we've done that for him.
"But there's still a long way to go before we get to where we want to be."
Wayne Rooney, who started the match up front on his own, said: "We've done quite well considering we've worked hard for two or three days.
"Jermaine Jenas came in today and we ideally want midfielders running beyond me up front and you saw that today.
"Wrighty (Wright-Phillips) and JJ (Jenas) got the goals and it's a good platform for us getting off to a winning start."
Gerrard provided an insight into Capello's philosophy, saying: "He wants us to be really difficult to beat and he wants us to be exciting going forward but it's going to take time.
"We've got a long way to go before the World Cup qualifiers.
"I'm sure we'll be a better team come the World Cup qualifiers."