"Today we are doing well and people are excited and think that we will come back with the Cup, but it is not like that," Argentina captain and Paris Saint-Germain star Messi told Directv Sports.
"The World Cup is very difficult, many things have to happen [to win it], not only that we are doing well, many things that can leave you out and there are many teams that want the same as us and that are doing well.
"We are eager, we are going to fight, we are not afraid of anyone because we are ready to play against anyone, but with peace of mind."
Argentina began their 2018 World Cup campaign with a 1-1 draw against Iceland -- a game in which Messi missed a penalty -- and finished second in their group before being knocked out by eventual winners France in the last-16.
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Messi thinks the opening match against Saudi Arabia on Nov. 22 will be key to the team's chances.
"In the first minutes of the first game the nerves and anxiety are difficult to control," Messi said.
"I think the first game is very important because starting with a win gives you peace of mind.
"Last World Cup, we started with a draw and I've always said that if I had scored the penalty and we had won it we would have changed the whole story."
Argentina play their final warm-up match against the United Arab Emirates on Nov. 16.