The Sweden fullback left Lille earlier this summer for Elland Road.
Gudmundsson told Fotballskanalen: "I am incredibly proud to have reached this level. I've had a dream since I was little to come to the Premier League and being in Leeds is great fun. I knew it was a big and historic club, but it's still bigger than I thought.
"The fan base and what they stand for. Then maybe it has to do with Leeds only having one team from the city. Then there will be more pressure. I knew it would be a real pressure but it's still more than I thought. Then the media is much bigger in the Premier League."
On the demands of the Premier League, he added: "Physically, France is very high up. In the Premier League, there is better quality and better players with the ball."