It had been hoped that the arrival of Filippo Inzaghi as head coach would signal an upturn in form at San Siro after a disastrous campaign that saw them finish eighth in Serie A.
Massimiliano Allegri and Clarence Seedorf both failed to halt the slump last season and early indications suggest there is still some way to go to for Milan after a 5-1 defeat to Manchester City and a 3-0 loss against Olympiacos.
However, Mexes is confident the tide is beginning to turn for the 18-time league champions and they will be challenging at the top of the table this season.
"In my opinion, even if the results say otherwise, we are on track," Mexes told the Gazzetta dello Sport. "During training I see great will and commitment on the part of all, we want to follow the what Inzaghi tells us.
"It is clear that we cannot be happy because defeats for a team like Milan are never nice to digest, but we know where to improve.
"We must not forget that Inzaghi has just arrived. He is absolutely not guilty of what happened, the players are responsible, it is our fault that the coaches tell you how to play and then you do not know to put it into practice.
"I believe that with his ideas and the respect that Inzaghi the basics are there to improve."
The defender is so confident Milan can return to their former levels that he is keen to renew his contract with the club, with his current deal due to expire in June 2015.
"I have never thought of leaving," he added. "I'm happy at Milan.
"I'm proud of the mentality of this club, it gives me great desire to help make it reborn.
"I have not talked with anyone about anything, and I'd like to renew."