Armenian midfielder Henrikh Mkhitaryanhas jumped to the defense of his new head coach, who drew criticism for his expansive approach in the Gunners' defeats against Manchester City and Chelsea, Sky Sport reports.
Speaking on Monday Night Football, Neville disagreed with Jamie Carragher's suggestion that Emery needed to adapt his style to suit Premier League football.
And, in an exclusive interview, Mkhitaryan said: "Everyone has their own opinion. We know very well what we are playing for and how we have to play.
"If we are just going to kick the ball up front and wait for God to give us a chance to score, it's not necessary.
"The only thing we have to do is to work hard, believe in ourselves and use the chances we create to score goals."
Mkhitaryan, who scored Arsenal's first goal in Saturday's 3-2 defeat at Stamford Bridge - the first league goal of Emery's tenure - added: "It was pleasure to score and assist in a game against Chelsea.
"We're not happy with the result but we know where we're going, what we're doing, what the coach is demanding from us and we're trying to do that.
"We can say we had a hard schedule having played Manchester City and Chelsea, but we had to face them now or later so it doesn't matter.
"We did our best, in one case we can say we were unlucky a bit, but that is football, it can happen. The most important thing is to stay positive, believe in ourselves and to keep working the same way and the result will come.
"We are creating chances. Maybe we are not as good to score at the moment but I think it's just the first few games.
"We are going to try and realise them for the next games, maybe it can work, maybe it won't, but we are going to try and we want to win, that is the main thing."
The defeat at Stamford Bridge saw Emery become the first Arsenal boss to lose his first two games in charge since Steven Burtenshaw, who lost the first three games of his caretaker spell at the club in 1986.
Emery has been tasked with following in the footsteps of Arsene Wenger, whose 22-year spell at the club came to an end this summer, and Mkhitaryan has likened both of their managerial philosophies.
"It's not too different but there are different things because there is not people playing in the same way or thinking in the same way, the philosophy is different," he added.
"Emery kept the philosophy of Wenger but is building something new on it. He knows he can give something different to this club, like the balance between attack and defence. It's not easy but I think he's doing it in the right way.
"We have to keep working because we have a new manager, a new philosophy and want to play in a different way than before under Wenger.
"It's not too easy but we are trying to achieve that and do what the coach is asking from us. He wants to play football and dominate the game and that's what we're doing, we're not just kicking the ball up front.
"We are trying to play football, our second goal against Chelsea we had 19 consecutive passes and then Alex [Iwobi] finished the attack and we scored.
"It's a new philosophy, we have to accept that and work hard to achieve our goals."