Jesus has filled in for injured team-mate Sergio Aguero over the past fortnight and scored a hat-trick in Thursday's (AEDT) 4-1 Champions League win over Dinamo Zagreb.
That made it five goals in three matches for the Brazil international, who ended an eight-match wait for a goal with a brace against Burnley last week.
Jesus revealed his confidence took a battering during his recent goalless run, but he refused to give up and is pleased to have been rewarded.
"Honestly, last month I was no good and I wasn't happy," he said. "I played nine or 10 games, didn't score and I missed chances so I'm not happy with that.
"When this happens, of course I cannot be happy. Sometimes football is like that. You have to keep working hard and try to score, try to help the team and that's what I have done.
"I cannot talk about other players, I can only talk about me, but when I'm not happy with myself I want to shoot myself in the head because it's difficult for me.
"I take it [personally] of course. I think, 'Oh my God, I have to score, I have to score, I have to score.' When I have the chance, sometimes I miss because I think I put too much pressure on myself.
“In my head it was like that. Always I think, ‘Wow, I have to score’ because I'm playing for a big club in big competitions with big players and it's like I shoot in my head. I say, 'Next game'.
"Sometimes it can happen that you don't score. It happened with me but I keep working and this month has been a good month for me."
With Aguero doubtful for Sunday's trip to Arsenal, Jesus acknowledged the pressure is still on to score goals.
The 22-year-old, who made it 101 career goals for Palmeiras, City and Brazil with his treble in Croatia, said: "I try all the time to do my best and sometimes I cannot do it and that's the way.
"But it's important for me to keep scoring goals because I have to. I'm at a big club and play with big players.
"I'm in a single competition with Sergio - a friendly competition. I hope that when he plays, he scores. I always want him to help the team and his team-mates.
"When I play he does the same, which is amazing. I have to learn from him because he's scored a lot for the club and throughout his career but I'm happy to reach 101 goals in my career."