Emery paid a reported £72 million ($88 million) to land the Ivory Coast international from Lille in the close-season, but Pepe has yet to impress for the Gunners.
The 24-year-old, who hit 22 goals for Lille last term, was criticised for his limp display in Monday’s 1-1 draw at Manchester United.
“It has not been easy,” he told French broadcaster RMC. “My confidence must come back. I am not very worried. People may be worried about my statistics but I am not.”
Emery may start Pepe in Thursday’s Europa League Group F clash at home with Standard Liege in an attempt to play him into form.
The Spaniard insists there is no concern that the fee Arsenal paid for Pepe is weighing him down, having seen him score just one goal so far.
“They are human, every player. When they are here working and playing with us, we don’t want and it’s not relevant for us to speak about the money,” Emery told reporters on Wednesday.
“Not for him, not for young players or experienced players. The salary is not important for me.
“We are playing every time, as a coach or a player, under pressure. Under pressure is a positive. Being under pressure is because we are at a big club with a very demanding objective.
“We are here because we are in the selection. Every player is in the selection to be here and it’s a privilege to be here.
“That privilege brings pressure, of course. But it’s positive, of course.”
Pepe has started Arsenal’s last five Premier League games and Emery feels that, once he has adapted to life in England, he will go on to have a fine career with the club.
“He still needs to play, get confidence, know progressively better the other players, our work,” he added.
“It’s one price and this process is called adaption. The adaptation, some need less time and some need more.
“But I am sure that Pepe is an amazing player, I am sure he is going to be here a big career, needs time.”