Lukaku has found life difficult at times since joining Everton on a permanent basis in a club-record £28 million move from Chelsea.
The Belgium striker has so far failed to justify that outlay, scoring seven goals in the Premier League, although he has added another seven in the UEFA Europa League.
"Maybe it was the season that I needed - to feel how it is to be the main man and things like that," Lukaku said.
"It has taught me a lot, especially mentally.
"I'm a very strong boy, but you know people expect more and more from you. When you look at the chances I had at the start [the scrutiny] comes, then when you start scoring it goes way.
"When you don't score again, it comes back. When you score you are a hero. Personally I don't let my head go down, I just keep working hard.
"If I don't score I try to give an assist; if I do score I try to give an assist and score another. I still have a respectable amount of goals - the same as last season now - so there is improvement but I want to get better and make the team better and help them.
"It's been a very good learning experience but I don't want to learn at this time. I want to win."
Lukaku's late penalty in Thursday's 2-1 win over Dynamo Kiev made him Everton's record goalscorer in Europe.
