The Frenchman knows that the Magpies cannot let their form slip if they want to steer clear of the relegation places.
Newcastle lost their last game against Arsenal away from home, and now they have a chance to get three points against Palace.
The latter have struggled in recent months, having not won since Boxing Day.
Saint-Maximin told reporters: "We were really disappointed as we done everything to win this game (at Arsenal).
"We played really good in the first half.
"We spoke in the dressing room about not conceding in the first 10 minutes.
"But Aubamayeng scored and after that, it's difficult when you try to do everything and they score.
"We have to keep going and keep working for the next game.
"Everybody is really disappointed, we played well in the first half but lost 4-0, and that's too much."