The 4-0 loss to Cardiff on Monday was their second successive home defeat and meant the Whites have only won one of their last four Championship games.
They next face a difficult trip to Scunthorpe on Saturday and although Grayson concedes that United are going through a troublesome period on the pitch he is confident that they can go to Glanford Park and record a victory after all they did start the season in great form registering a number of impressive successes.
He told the club's official website: "It's a difficult time. We've lost a couple of games by bad scorelines and mistakes that we have made we have been punished for. But we'll keep working hard and stick together.
"This is all part and parcel of football and management. No one said things would be easy. This group of players have beaten Millwall, Watford, Swansea and Sheffield United and their is a collective belief and desire there.
"What they have learnt and are learning is that the margins for error in this division are so much smaller than they were in League One. You get punished in areas you maybe wouldn't lower down. However, there's certainly no reason at all why we can't go to Scunthorpe on Saturday and come away with a win."
Source: PA