Under new coach Conte, Italy have beaten Netherlands in a friendly and won all three of their Euro 2016 qualifiers - conceding just once - to sit level on points with Croatia at the top of Group H.
The former Juventus boss took over the national side following a poor showing in Brazil, where Italy bowed out at the group stage with just three points on the board.
However, following Monday's 1-0 win over Malta, Conte expressed his pleasure with his side's performances.
"We realised our objective, to win, and we are [joint] top of the group - just a month and a half after the disastrous World Cup," he said.
"Malta played defensively and it was difficult for us to attack. This is a good start, though.
"Winning four out of four after the World Cup is really good. We should be proud that we are first in the group with Croatia but we can always do better."
A debut goal from Graziano Pelle ensured the points for Italy at the Ta' Qali National Stadium in Malta - the Southampton man scoring 23 minutes in to ensure a dream start to his senior international career.
However, Claudio Marchisio felt Italy could have extended their advantage had they maintained their attacking tempo.
"The approach was good both [in last Friday's 2-1 win over] Azerbaijan and Malta but I think we tend to ease off after taking the lead," he added.
"When we do so we have difficulties against sides who close down space well, getting many players behind the ball.
"We have to improve in this regard: we shouldn't change the way we play after taking the lead."
