Lovren joined the Saints in the summer from Lyon, and he has formed a strong partnership with Jose Fonte at the heart of their defence.
"I made the best possible move by coming to Southampton," Lovren told Sportske Novosti.
"From day one in this club everybody from the board, manager and fans they all tried to show me how much I'm appreciated and how much they wanted me."
Lovren acknowledges the fact Southampton paid over £8million shows how much they wanted him, but insists they have done much more.
"They showed with the fee they paid for me what I meant but other things make you happy: the way you feel every day in training, getting along with your team-mates, communicating with manager and coaches. I'm really happy to be part of this club."
Lovren expressed his pride at Southampton's start to the season.
"To concede just three goals in nine games in this league is very hard so we deserve the respect now from the others," he said.
"But it's the whole team, not just the four in defence and the goalkeeper.
"It's each player, we all work hard on the training ground. It's a pleasure to play every day with these players."
He admits that Mauricio Pochettino is great to work under, adding: "He gives us a lot of advice, he's an intelligent man so we follow his instructions.
"We keep the line very high, I've never played like this before and it's a level with risk. But we're doing a good job.
"Our philosophy is to get the ball back very quickly when we lose it. I think you saw that against Fulham, we lost the ball in the first half and they didn't have a chance to do anything. I think it was amazing, this was the best game we've played.
"For now, everything is perfect but we still want to improve each day. I'm very proud of the team, we're young and we've already shown the character - but the next few games will be a big test for us."