The Foxes have made the Championship's best-ever start as they dominate the league at the top of the table, sitting 14 points clear of third after only 14 games.
Enzo Maresca's side have incredibly won all but one game this campaign, including their last nine in a row, while scoring the joint-most goals and conceding the least.
And Coady, who joined the club from Wolves in the summer, is loving every second.
"First and foremost, there's no better feeling than doing that," he told talkSPORT.
"That's what we want to be doing as football players, that's what we want to do as humans.
"You want to be winning every game and some of us are coming off seasons last year where we didn't win many games.
"But that feeling of actually winning games is absolutely incredible and it's what we live for.
"It's the best feeling in the world. You can go home and speak to your wife and kids!
Most read in Championship
Weak, overpaid, selfish players... Man United have major problems - but don't sack Ten Hag
'This is f******* corruption' - Palace co-owner goes viral for post-match rant live on TV
Messi is the Ballon d'Or winner but is beaten to prestigious MLS award by ex-Celtic man
Jude Bellingham puts three Birmingham heroes in same breath as Zinedine Zidane
"To be winning games how we are doing it's really good but we've got a long way to go."
Coady is aware that not many teams have experienced such a smooth ride after being relegated from the Premier League in the past.
The Championship is notoriously an extremely tough league to get out of but it seems Leicester could have cracked it.
They have been a level above on the pitch, but that extra edge comes from off it, with the family feel within the club spearheaded by owner Aiyawatt 'Top' Srivhaddhanaprabha.
"The feeling I've had at this club so far, from the owner to the management staff, to the coaches, to the players, to the kitchen staff, to the kitman, I've never seen a club as in one direction as this club is," Coady said.
"The owner is incredible himself. I think we've all heard stories about what he's like but I've never seen anything like it in terms of what he's like with the boys.
"He comes and watches training, he's always at the game and comes into the changing room and gives everyone big hugs.
"I have a bit of a laugh with the boys who have been here for the majority of their career and I say that you don't really understand what goes on at other clubs, because you've got it so good here!
"Honestly, the feeling that the owner creates with everybody is absolutely remarkable.
"I think it's brilliant, the way he [the owner] does it is brilliant. The feeling he creates of all being as one and being a family.
"I remember the first week we came in, the gaffer told us we're staying here [the training ground] for a week to help us all feel together.
"He put on meals, an Argentinian barbecue, he put a singer on!
"I've never had that so when it happened I was like: 'This is serious this, this is really good.'
"The lads were like 'this is normal' but it isn't normal and isn't what goes on at other clubs."
And that could well be the difference for Leicester.
They may eventually end up being matched on the pitch, but no other club can generate the atmosphere between staff and players that they do.
The Foxes' record-breaking start to the season has led to some believing they already have one foot back in the Premier League.
But the Championship is known to throw up surprises and Coady is well aware that his side cannot get ahead of themselves.
"To think that far ahead is silly," he said. "But do I think Leicester should be there, I do.
Read More on talkSPORT
Fans hope darts star with rudest nickname doesn't have to change it for Ally Pally debut
Liverpool fan Murphy can't hide delight at 'inept' Man United decline after years of pain
"The fact of the matter is we're not, and it's up to us as players and staff to get it back to where we need to.
"The most important thing is looking at the here and now and that's getting out of the Championship as soon as possible."