A 25-16 loss to a new-look Australia in Sydney on Saturday marks their longest run without a win since 2012, when Gatland was in charge during his first stint.
He characterised the result as "just where we are at the moment".
Wales have one more Test against the Wallabies in Melbourne next week to stop the rot, with the New Zealander saying they have stay in the "arm-wrestle".
"The way the boys have trained this week and the buzz around them, they've been outstanding," he said.
"We know we're going through a process playing at the highest level, which is about learning to handle some pressure. It's just staying in the arm wrestle.
"That takes a little bit of time in terms of on-the-field stuff.
"I have been through that with other teams in the past," he added.
"Once you get across the line, players in the team learn that understanding and turn those games that are close into wins. That's what we've got to work through at the moment."
Gatland has a relatively inexperienced squad in Australia as he continues to rebuild after the retirement of stalwarts including Alun Wyn Jones, Dan Biggar, Leigh Halfpenny and George North.
It hasn't been an easy ride since last year's World Cup with eight defeats including the embarrassment of finishing bottom of the Six Nations for the first time since 2003.
But Gatland insisted he could see light at the end of the tunnel.
"When you win once, you build confidence and learn how to close out games," he said.
"There's a lot of inexperienced players who are going through that process.
"It's about taking the lessons from tonight (Saturday) and applying them, saying where can I improve my game and be better next week."
In contrast, Australia showed encouraging signs in the first match under new coach Joe Schmidt as they look to turn a corner after the disastrous tenure of Eddie Jones.
Schmidt used seven debutants, five off the bench, and while not a perfect performance there were plenty of positives in the three-tries-to-one victory.
"A win is really important, and it always is because that's what you get judged on externally," said Schmidt, who has only had the team together for two weeks.
"I think some of those moments that we did really well to earn that one, that'll be the focus for us this week building into Melbourne.
"We have a few things that are a little different from how teams have played in Super Rugby so the adjustment time for that to become second nature is inevitably going to take time."
