Saints have yet to pick up a point and the Scotland left-back knows improvements are needed, starting against Aston Villa next weekend.
"We need to show more character and believe that we can play at this level because we are good enough to be here," Fox told Saints Player.
"I think if you look at the squad - Gaston [Ramirez] came on and looked the part and he's only going to get better once he starts to learn English.
"The ability is there so I think we just need to be a bit more ruthless.
"We'll work on the training ground this week and the gaffer is always positive, so we'll take the positives from this game and go into the Villa match knowing that we have to win."