The 20-year-old striker proved to be a sensational loan acquisition under Nigel Pearson last season - scoring 12 goals during his time in a City shirt - and he knows more than anyone that expectations will be high.
Waghorn has signed a four year contract at the Walkers Stadium for a fee thought to be around £3million.
And yet, despite the transfer fee, the striker insists the big money move will not worry him.
'I have signed for a lot of money in the Championship, so there will be pressure there, but I have come to play football and I am not going to let it burden me.' He said.
'Obviously, the fans will be expecting something. I have to repay the club in some way but I am here to play football and I want to enjoy myself. Whatever happens will happen.
'I am not worried or fazed. I am only young and I know it is a lot of money but the way the football industry works these days there will be signings like this.
'I don't take much interest in the fee, it is between the two clubs.
'As soon as I heard about the sale I didn't think about the fee, I just thought about settling in. It is just about what I can do for the team now.' Waghorn added.
Waghorn will be hoping to feature when the Foxes return to Championship action against Coventry at the Ricoh Arena on Saturday. And, a repeat performance of last season's tie would be the perfect start for Waghorn - as it was his sensational strike that drew the tie level.