The Gunners are in the middle of one of their worst ever seasons in the top flight, having accumulated just 14 points from their opening 14 games to sit 15th in the table.
They have scored just 12 goals in those games, with talismanic striker Pierre-Emerick Aubameyang among the forwards struggling for form in front of goal.
The players are naturally cutting forlorn figures at the moment particularly after the latest loss against Everton at the weekend, and Neville says Arteta must try and catalyse a difference in mood.
"I think Mikel Arteta has to do one thing in the next few weeks: results may not come, performances may not come, but he's got to make those Arsenal players look like they are enjoying themselves," Neville said on his podcast.
"At the moment, they don't look like they are enjoying themselves.
"On Saturday they looked like a bunch of players struggling and toiling with how they'd been asked to play, maybe they didn't believe in the system, or maybe they don't believe the players next to them are good enough.
"Something is not right."
Neville also believes the players look bored, and that will translate to the fans.
"I think Arsenal fans, and most football fans, are the same. They won't accept being bored. To me, the Arsenal players look bored, and the football they're producing looks like a real struggle," he added.
The Gunners have won just four of their first 14 games in the 2020/21 season, though did progress through their Europa League group with flying colours.