The newly promoted side were given a real baptism of fire when they were drawn against reigning champions Arsenal at the Emirates in their first Premier League game in 25 years.
Kai Havertz opened the scoring after just 16 minutes with a lovely finish from the edge of the box, with Bukayo Saka doubling their lead shortly after.
Arsenal captain Martin Odegaard then rounded off the scoring just a few minutes after the break, giving the Gunners a dream start to the new season.
Lampard, on the other hand, wasn’t too disheartened by their defeat, but is under no illusion about just how difficult this season will be for Coventry compared to 2025/26.
Coventry won the Championship title at a canter, ending the season with 95 points, 11 above second-placed Ipswich.
Speaking after the game, Lampard was frank about the club’s situation, saying: "It's a good learning curve for our players. You come here and want to do something but it's very difficult. It's a good experience to live.
"We hate defeats, but you can lose here and there is a lot to be done to do what we want to do this season, so we will take the learnings."
On Arsenal's calibre of players: "It's a club that has worked in a certain direction with a very good manager. Every game is not going to look like that. We had seven or eight Premier League debuts.
"When it's 2-0, you still feel you are in the game, when it's 3-0, it's hard. The boys kept going. They showed good courage as the game went on. They shouldn't be too down after this because these are the best in the league."
On the importance of getting points early: "With that start, we have to remain calm. We want to get rolling. We had a good feeling last year of winning games and it makes everything pretty easy. It won't be so easy this year, but we want to get those points for sure."
On being animated on the touchline: "I have to be the first animated positive person this year. Last year was easy to be animated and happy and smiley all the time. I want to help the players. When they have a tough night, be there for them I will be there for them in the game and after the game."