Town have lost five league games in a row to slide down the table but Clegg has backed under-pressure boss Keane to make the difference.
He told Sky Sports News: "He is under no illusions.
"We are in a results business and people will judge us on those results and ultimately he understands that if those results are not forthcoming then the manager will pay the ultimate price for that.
"That is why everyone at the club is getting behind Roy and giving him everything he needs to turn this club around.
"We are desperately trying to get this club back into the Premier League and Roy is being given the support he needs to do that."