I agree with the second answer -- I think it was Davis who had it harder.
First of all, his country barely deserved the name. It had no history as a country and had to try to devise a governmental system while, at the same time, fighting for its life. It was also hindered badly by its doctrine of states' rights. This meant that Davis's government would have a hard time getting states to contribute to the overall war effort.
Second, I disagree that most people in the North thought the South would win easily. One reason people went to watch First Bull Run was they thought it might be the only batttle of the war. People in Europe didn't think the South would win easily either, or France and Britain might have recognized the Confederacy. This was another issue for Davis -- he had to try to get his country acknowledged as a country and to get help from abroad.