Thauvin joined Newcastle for a fee which the Chronicle reported to be £12 million this summer, but he has failed to make an impression so far.
And Sissoko admits that his compatriot needs to start showing his class, if he is to help the Magpies push on up the table.
"The club has invested a large sum of money in him so the fans are expecting a lot more from him and the club also, but we all have faith in him, he works very hard in training every day and he is trying to give the best of himself like the rest of the team," the powerful midfielder said.
“I hope he will soon get back into it and that we will see a great Thauvin as we need him to help us.”
Thauvin has appeared to struggle to make the transition to English football so far, and he is in danger of becoming another expensive flop for Newcastle.
The 22-year-old has played nine times for Steve McClaren's side so far, but so far his only goal has come against Northampton Town in the Capital One Cup.
His story so far, has been very similar to the one of Remy Cabella's last season.
Cabella was brought in to provide Newcastle with an attacking spark, but he did very little and was quickly loaned back to Ligue 1.
Unless Thauvin rapidly improves, it could be that his Magpies' career is equally short lived, but the winger will be determined to prove that he does have something to offer his new side in the near future.