Lewis was unbeaten in his first five games in temporary charge, but suffered defeat on Tuesday when the U’s went down 3-2 at Newport County.
It ended a 16-match unbeaten away run, but Connolly, who is on loan from Portsmouth, says that the squad are all really enjoying their football.
And the 36-year-old is well-qualified to comment on what it takes to be successful, having enjoyed promotions with Sunderland and Southampton.
After scoring in last Saturday’s 3-0 win over Mansfield, the Republic of Ireland international pointed to a feel-good factor around the whole club.
That, he says, is down to Lewis and his No 2, Andy Melville.
“Mickey and Andy are great people,” he said.
“They’ve been in the game a long time, are very good with the younger players, and it’s just a good atmosphere here.
“They are good man- managers, have built up a relaxed atmosphere so the lads can just get on with it and can go to work in a nice environment.”
Connolly has scored twice for Oxford, both coming at the Kassam Stadium.
The U’s have a host of away fixtures coming up, but the striker believes they are more than capable of picking up plenty of points on the road.
“It’s nice to come to a new club and get off to a good start,” he said.
“When you’re scoring and the team is winning, that’s all you can ask for.”
He added: “Going away is always tricky, because it’s a tough league.
“But we will all stick together and we have some people coming back from injury now and so there will be plenty of fighting for places which is good.
“It’s a long road ahead – and it’s a hard road – but we are right in it.”