Dalot was speaking ahead of today's trip to Leicester City.
Asked about co-owner Sir Jim Ratcliffe's claims of some players being "over paid", Dalot said: "Ultimately this club will progress through what we do on the pitch, so we are all responsible for the future and the momentum of the club.
"We know that we have that responsibility but we want to take it.
"The pressure is high but we are Manchester United players for a reason. We want to change things ourselves. It is clear that when you are 14th in the league, we are not doing what we should, so we want to change that. If we want to put Manchester United back on top we need to do much better."
Dalot also said: "You can see this is a period of change, especially since INEOS have come in,’ he said. ‘You can see there’s a different approach in terms of building a new structure around the club. It’s clear.
"Everybody sees it and whether you like it or not, you can see some changes - and it’s something different that we haven’t seen before. So you can see that the club wants to go in a direction where they want to rebuild Manchester Utd and put Manchester Utd back on top. So I hope in the next couple of years, we can go there."