The Gunners, fourth in the Barclays Premier League last season, maintained their superb record of qualifying for Europe's elite club competition once again by comfortably beating Fenerbahce both home and away in last month's play-off tie.
However, progression through to the knockout stages will be no easy ride, with 2013 runners-up Borussia Dortmund and Italy's second-placed side Napoli, now managed by Rafael Benitez, completing Group F.
After Tuesday night's match at Stade Velodrome, Arsenal will then have back-to-back home fixtures, but will finish off with what could prove to be a tricky final match in Naples on December 11.
France international Koscielny hopes the Gunners will already have put the hard work behind them by then.
Speaking to Arsenal Player, he said: "If we can get a good result at Marseille it sets us up well, as we have two home matches after this.
"The most important thing in the Champions League is to start well.
"It will be hard to win at Marseille, but we have the quality to do it.
"We are experienced in the Champions League and are all looking forward to this challenge again."
None of this season's opponents will provide much unexpected for Arsene Wenger's squad, having tackled both Dortmund and Marseille in the 2011-12 group stages.
Koscielny, though, is not expecting an easy ride as the Gunners look to make an impact on the latter stages, having gone out to Bayern Munich in the knockout round despite winning the second leg in Germany.
"It will be a difficult group," he said.
"We know Marseille and Dortmund, as we have played in the last two years against them.
"Marseille bought some good players this season and they have the quality to be dangerous up front, while Dortmund, of course, played in the Champions League final - and we all know the quality in their team.
"We have already played against Napoli in the Emirates Cup in pre-season, but it is difficult to tell (much) from this match.
"We know this will be a big challenge for us, but we did well against Marseille and Dortmund the last time we played, and we are confident of doing it again."