Europe have won the last two Ryder Cup trophies and Lehman had no doubts the team led by Ian Woosnam would be just as tough to play against this time.
"I think we are the underdogs," said Lehman of the match which runs from Friday to Sunday at the K Club.
"Our team is very strong but we have four rookies and there is always a bit of a question mark about them. The European team playing in Ireland have to be slight favourites. I'm not opposed to being the underdog."
Lehman and nine of his players arrived at about 1100 GMT with Phil Mickelson arriving later after attending his sister's wedding, and Jim Furyk and Tiger Woods not among the party as they played in the World Matchplay Championship at Wentworth last week.
"We feel very welcome here," continued Lehman. "I think it's going to be a phenomenal week -- it's historical and significant and both teams have a lot to play for. The spirit will be tough and fierce but also full of respect.
"This is a once in a lifetime opportunity for a US team to come to Ireland. If you can't enjoy a Ryder Cup then there's something wrong. There are so many reasons to enjoy it. We grew up as kids dreaming about something like this.
"We want to enjoy everything about it. The biggest winner of all will be the people of Ireland and the game of golf."
Although Woods and Furyk both lost their first matches at Wentworth, Lehman said he was not bothered at all by that.
"Preparation comes in different forms. Some guys want to win and get momentum going. Others just go into tournaments focusing on one part of their game and don't worry about results," Lehman continued.
"The week before a big one is preparation - you always take heart from guys playing well but you don't lose it if they don't. Everybody has nerves and fears but that's all part of it. If you weren't nervous you wouldn't be a human being."
That's what it's all about.
"Why can't they all get to know each other?"
Samuel Ryder,1926