United are languishing in the bottom ten of the Premier League table, with results nosediving since Amorim succeeded the sacked Erik ten Hag.
Amorim told TNT Sports: "I feel that (people believing in me). At the same time, I'm embarrassed by that because if you look at our performance and you see our team sometimes on the pitch, it's really hard for me as a coach to take a lot of positives."
On performances, he continued: "I think we are so nervous sometimes in the game and you can feel it in the small things. The way that we move sometimes, the understanding of the game, especially at Old Trafford.
"I feel that sometimes the players are in the dressing room and we go to warm-up and we go inside to start the game, I feel that the air is heavy. These kind of things I think we show a lot in the games."
Amorim says he's still trying to get his methods across to the players.
"The only way I know to help them is to give them to the solutions to play on the pitch, but they have to believe it,' he said.
"And to believe it is when we are losing or in a difficult situation and you feel like you cannot even build up one play, they have to stick with that and to believe in that. That is the hardest part.
"Because when we suffer a goal or we have a bad moment, you feel like the connection is not there, we lose ourselves. We get lost a little bit. I understand it is more than football, more than tactics, it is something that is in the players' mind."