The Spaniard started in Wednesday night's 1-1 draw with Bohemians, which was Lampard's first match in charge of the Blues.
And Pedro says Lampard has already imposed his philosophy on the playing group.
He told Sky Sports News: "It's very hard work, high intensity, pressing a lot without the ball. When you have the ball move it quick.
"For us it's very good to work with Frank. He's a legend at this club. Also his coaches are very good with good ideas."
On the friendly result, Pedro added: "It's normal for the first game of pre-season.
"It's only five days of training and for this reason it's normal to draw.
"We need to improve a lot but it's good to be on the pitch and have the young players as well.
"It's normal to not be in the best condition. We've been training really hard with Frank this week and this is good for us."