A promising first campaign under the Dutchman brought Carabao Cup glory and Champions League qualification but things have gone awry this term.
United sit eighth in the Premier League, have been knocked out of the Carabao Cup and suffered their ninth defeat in 17 matches on Wednesday evening.
The late 4-3 loss at Copenhagen damages their chances of reaching the Champions League knockout phase but Hojlund says the squad believe Ten Hag will turn things around.
"A really good coach," the 20-year-old summer signing said.
"He cares about every single detail, and he helps me a lot, gives me a lot of confidence and supports me.
"I think every player in the dressing room support him. I hope it is just a matter of time (before we will be successful).
"The first 30 minutes today was some of the best football we have been playing this season."
Hojlund's first-half brace had put United in control against his former club, only for Marcus Rashford's debatable red card and two contentious goals to change the dynamics.
"Not so good," the Denmark striker said of his emotions after the chastening 4-3 loss.
"A special game for me. It was nice to score two goals.
"But, having said that, it is a shame that we concede a red card because we were playing very well in the first 20-25 minutes."
Asked about the decisions that went against United on Wednesday, Hojlund said: "We need a little luck at the moment. We miss the small things."
Wednesday's loss leaves the Red Devils bottom of Group A with a trip to Galatasaray and home clash against already-qualified Bayern Munich remaining.
Premier League matters now take precedence as Ten Hag's men look to build on their stoppage-time win at Fulham last weekend at home to Luton on Saturday.
It is United's final match before the international break and is set to see more Old Trafford protests against the Glazer family.
Nothing has been finalised in terms of the club's future direction nearly a year on from the controversial owners' announcement of a strategic review.
A potential full sale seems to have been put on ice, while Sir Jim Ratcliffe is understood to be closing in on a deal to purchase around 25 per cent of the club.
The 1958 fan group are planning more protests against the Glazer family ahead of the Luton match as they call for the American owners to relinquish full control.
After demonstrations were paused following the death of United great Sir Bobby Charlton, a protest is planned from 2pm at the North West Quadrant towards the back of the Stretford End.
Steve Crompton, a spokesman for The 1958, said: "The fight remains in full force.
"There was a natural impasse to reflect the sad passing of Sir Bobby but we will never give up until the greedy Glazers have been removed from our club in their entirety.
"Let there be no doubt. The fight is not over. In many ways it's only just begun."