The Black Cats are bottom of the Premier League, with two points after eight games, and are odds-on with bookmakers to be relegated.
"It's probably lost its identity at times trying to be a club it's not," Bain told the club website.
"The job is to build, almost rebuild. It's apparent that we've got a journey to embark upon."
Bain took over as chief executive in July, replacing Margaret Byrne, who resigned in the wake of Sunderland winger Adam Johnson being found guilty of sexual activity with a 15-year-old.
One of his first tasks was to recruit ex-Everton and Manchester United boss David Moyes after Sam Allardyce left the club to become England's manager.
Sunderland avoided relegation by two points last season and also struggled the previous campaign, when they finished 16th.
"We can't change the past, but we can change the future," said Bain of his work with Moyes. "From both our perspectives it's about rebuilding."
Bain also said the club will have to be more savvy in the transfer market.
"This club has to get better at buying and selling," he said. "Like it or lump it, we should be looking at bringing players to this club and selling them for a greater value.
"We have to look at acquiring players at a younger age, too."
Sunderland need to "rebuild" having "lost their identity", according to the club's chief executive Martin Bain.