Pepe admits Real Madrid are still smarting from their 4-0 defeat to Barcelona but they are working to return to consistency ahead of their Copa del Rey clash with Cadiz.
Rafael Benitez's side were thrashed by the Catalan side in front of their own fans on November 21, consigning them to successive defeats in La Liga for the first time in more than a year.
After putting together consecutive victories over Shakhtar Donetsk and Eibar, Madrid travel to face third-tier Cadiz on Wednesday.
Portuguese centre-back Pepe says they remain behind their under-pressure coach and are working hard to improve results and remain in contention for silverware.
"We did not expect to play like that against Barcelona," he said. "We are with the coach and with the president.