Bolton entertain Blackburn on Sunday and then embark on their first UEFA Cup campaign against Bulgaria's Lokomotiv Plovdiv next Thursday.
These are exciting times for a club which won promotion to the top-flight only four years ago.
Allardyce knows which games will take priority in the weeks ahead.
"I will always preach one thing and that is the Premiership. It is the most important competition for us," he said.
"If we are to enjoy Europe next week we have got to beat Blackburn.
"We must have a good base to go and relish the foreign trip.
"We face a massive test of keeping the players performing at a high level.
"It is also important we get something out of a league game after Europe.
"A club like ours could find that extremely difficult. Certainly Ipswich and Middlesbrough have struggled on that score in the past."