The last time Northampton won at Welford Road was in their relegation season in 2007, with the home side prevailing in each of the last six east Midlands Premiership derbies.
The Saints must break that sequence to book their place in the Twickenham final.
And they know from last year's bitter experience, when Saracens beat them at Franklin's Gardens, that home advantage guarantees nothing at this stage of the competition.
"We learned a few lessons from last year, when we had a home draw against Saracens," said Mallinder, named this week as the Premiership's director of rugby of the season.
"Saracens came and played a really good game against us and beat us on our own patch.
"Leicester are a formidable side, they have very good players but on our day we are a quality outfit and we go into the game with confidence.
"It is going to be close but we know we are capable of winning."
The Saints may also take heart from the fact Saracens have won at Welford Road this season and Gloucester came away with a 41-41 draw.
Last week, Leicester dug themselves out of a hole to beat London Irish but the final result did not save the players from an on-field dressing down by boss Richard Cockerill.
The Tigers have Louis Deacon fit to start while Northampton are likely to be without Premiership player of the year Tom Wood, who has been sleeping in an oxygen tent in a bid to recover from a hairline leg fracture.
Mallinder hinted earlier this week that he would not risk Wood - particularly with a Heineken Cup final against Leinster to come - if he was not fully fit.
Saracens and Gloucester contest the other semi-final on Sunday in what promises to be another mouthwatering showdown.
Saracens, unbeaten in 11 games, thumped the Cherry and Whites 35-12 on Easter Sunday and they go into the play-offs with more Premiership wins than any other team.
But Gloucester, under Bryan Redpath, have been a revelation this season and they geared up for Sunday's clash by hammering Sale 68-17.
"Saracens are very efficient in what they do," said Redpath, whose only injury absentees for the trip to Watford are centre Mike Tindall and full-back Olly Morgan.
"They don't take a huge amount of risks, and they are pretty relentless. You don't lose only four games in a domestic season and not be a good team.
"Play-offs are tough, and you have got to be mentally tough to deal with them. We've had two finals and a semi-final, and this is the fourth play-off we have been involved in.
"We have nothing to lose on Sunday, but physically, we must compete.
"If you are going to compete against a top side, you must match physicality with physicality.
"If you don't match it, they are capable of beating you, which they showed three weeks ago. Everyone is ready to rumble and desperate to play."
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