The reigning European champions have had to play second fiddle to both Atletico Madrid and Barcelona in recent years.
They have won the Champions League on two occasions since their last league win, as well as two European Super Cups, the World Club Cup and Copa del Rey.
Modric has yet to win the league since joining from Tottenham and the Croatia international admits the squad are aiming for domestic success this season.
He told reporters: “Since I arrived here I have won everything except La Liga – that is all I have left to win. I hope we can do it this year.
“For a club like Real Madrid to not win it in four seasons is too long. That does not mean we do not want to win everything else, too.
“We want to be first to defend the Champions League. But for me, and for many fans, the priority is to win La Liga and I hope we do it this year.”
Southampton have announced plans for a two-week tour of China as part of their pre-season preparations for the 2018-19 season.