Italy suffered an early exit for the second World Cup in succession as Uruguay and Costa Rica qualified from Group D in Brazil earlier this year.
Cesare Prandelli subsequently left his role as head coach and was replaced by former Juventus boss Conte, the 45-year-old agreeing a two-year contract.
Italy have won two games out of two, against the Netherlands and Norway, following Conte's appointment and Immobile says there is a new atmosphere of self-belief within the squad.
Speaking ahead of Friday's Euro 2016 qualifier with Azerbaijan in Palermo, the Borussia Dortmund forward said: "The main difference from the World Cup days? I've already said that now I see a group of players that are very tight, a squad that marches towards our goals as one
"[A squad] that is thrilled to be wearing this jersey and wants to wear it with respect and pride.
"I didn't find just 11 starting players and then the rest, as it was in Brazil.
"That's what Conte asked every one of us from the very start. It doesn't surprise me, knowing Conte as I know him."
Immobile, 24, struck his maiden international goal in last month's 2-0 win over the Netherlands.
