This season they have overcome the 10-point penalty imposed for going into administration and still have slim hopes of reaching the League One play-offs.
But the South Coast club can put such thoughts to one side on Sunday afternoon when they head to the national stadium for the first time in 18 years to meet Carlisle in the final of the Johnstone's Paint Trophy.
Alan Pardew's side will take 44,000 supporters with them and midfielder Lallana admitted: "It's massive. We had a bad season last year but the fans stayed with us, they kept coming to home games and brilliantly away too, so a day out like this is just fantastic and it feels like we are giving a bit back.
"We've still got nine massive league games left, if we win them then anything is possible, so it's exciting times."
Lallana is the latest member of the Saints Academy to have attracted interest from the top flight.
Fulham and Wolves were linked with the 21-year-old during recent transfer windows but Lallana is happy he stayed put.
"When you think about the situation the club was in last year, people were talking about liquidation and if that happens you lose your job, so you've got to keep your options open," he added.
"But I'm really glad I'm still a Southampton player. We've got money behind us, new players, a high-quality manager. Fans are coming back and we are winning matches.
"So if we win on Sunday we can continue to move upwards like we have been doing all season."
Source: Team Talk
Source: Team Talk