Matt Williams' side have also lost their opening two matches, against Wales and England.
"The game against the Scots is our must-win game," he said.
"Playing at the Stadio Flaminio will help us, but we must treat the Scots with respect, even if everyone says they are young and inexperienced.
"The 6 Nations really starts here for us, and we are ready to dance."
Mazzucato accepted the Italian attack has not yet fired on all cylinders, but said their defence, against two of the best sides in the world, had been impressive.
"Our defence has been very good but we are lacking in attack," said Mazzucato.
"We played good rugby against France at the Stade de France, but against England we made too many unforced errors.
"Now we'll sit down and analyse how the Scots played against England, and we will need to be back to our best to beat them."
Italy skipper Andrea De Rossi echoed the thoughts of his team-mate, saying the Scottish match is definitely one they can win.
"Our tournament has started against the two strongest teams, who are favourites for final victory," he said.
"I think we played well, defending with the right discipline but were lacking in attack where we must do more especially at the Flaminio against the Scottish.
"I believe they (Scotland) are still a strong team even after all the retirements they had, but they are beatable and if we defend like the first two games and attack better I'm sure we can do something positive on March 6."