Marc Wilmots' men have not been at a World Cup since South Korea/Japan in 2002, when they reached the round of 16.
The appearance was Belgium's sixth in succession, making their absence from the '06 and '10 finals all the more glaring, and Chelsea striker Lukaku said the European nation will be desperate to perform.
"It's been 12 years that we've never played in a big tournament, so now we are here and hopefully we will show the people that we can play good football," Lukaku said.
"We don't feel much pressure, we are a young team, we are relaxed, everybody is confident in themselves, we have a good team, we have already played for four years together so we are ready now.
"We all started (our preparations) in Belgium before we left so we know how it is to play in Belgium but it's obviously a great moment to play for your country and especially at a World Cup.
"We are all very proud we are Belgian so now we have a chance to represent our country at the highest competition in the world."
Lukaku, 21, said the feats of past heroes at World Cups makes playing at the pinnacle event all the more special.
"The World Cup is a bigger dream because all the big players played at a World Cup like Ronaldo, Thierry Henry, (Zinedine) Zidane, they all played at a World Cup.
"So now we are here but it's not about me, it's about my team-mates.
"We are as a team, we are here, it has been 12 years now so we want to perform well."
Belgium open their Group H campaign against Algeria in Belo Horizonte on Tuesday, and Lukaku said the challenge should be a similar one that was presented to them in their recent 1-0 friendly win over Tunisia.
"The same game like against Tunisia but they (Algeria) have more qualities but we are ready, we have a lot of confidence in ourselves and we are here to show our best football and hopefully we will do well," he said.
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