The Englishman marked the opening weekend of the new campaign with the third goal in a 3-0 win over Levante, and says he still has plenty to prove.
"I feel part of the perico family," Dolan told Marca. "I feel like I'm settling in, but I still have a lot to prove and a lot to do. I'm happy here, but I still need to give more."
Now playing predominantly on the left rather than his more familiar right flank, the winger says the shift has opened up more chances to shoot, something he wants to build on after scoring twice last season.
"Now, on the left, I hope to have more freedom to cut inside and shoot more — against Levante I had several attempts," he said. "I hope to keep creating chances, and it's something I really want to improve."
The win sets up a daunting opening test against Real Madrid, and Dolan says Espanyol will travel with confidence rather than fear.
"We believe we can beat anyone if we do things right, of course. It will be a difficult game because it's Real Madrid, but we have confidence," he said. "Against Levante we played a great match and we believe in ourselves. That's all you need in football."
The game will also pit him directly against England international Jude Bellingham, a player he knows well from international duty.
"Bellingham is a top-level player. I also have a good relationship with him, so it'll be exciting to face him," he said with a laugh.
It will be Jose Mourinho's first match in charge of Real Madrid, though Dolan insists that changes nothing about Espanyol's approach.
"For us the motivation is always the same, no matter who the coach is. Of course Mourinho is a legend of this sport, but we're always excited, whoever the opponent is."
Dolan has previously spoken openly about mental health, and returned to the subject when asked how important it is in football.
"Football is an emotional sport. It's not just that for the players, it's also for the fans," he said. "You win one week and you're the best player, but the following week you have a bad game and suddenly you're the worst. You're constantly trying to understand your emotions and learning how to manage them."
While the number 21 carries deep significance for Espanyol supporters in memory of former captain Dani Jarque, Dolan also wears the number 24 for personal reasons — in tribute to his close friend and former Manchester City academy team-mate Jeremy Wisten, who passed away in October 2020.
"The 24 means so much to me. It's much more than just a number. It's a legacy in honour of my friend, and I think it's a special number," the 24-year-old said. "He'd be very proud that I wear it at Espanyol."
Asked what more he dreams of after establishing himself among the elite, Dolan kept his focus close to home.
"I simply want more, more and more success. The most important thing is that my family is healthy, they're everything to me," he said. "In footballing terms I want success with Espanyol, I want to see how far I can go, and with hard work see where life takes me."