Theo Walcott and Aaron Ramsey scored the all-important goals at the intimidating - if half finished - Stade Velodrome, where the Gunners rode their luck in securing a 2-1 win.
While the performance was not perfect, Wenger could not have asked much from his injury-hit side as they got an intriguing-looking group off to a winning start.
Rafael Benitez's Napoli and last year's runners-up Borussia Dortmund complete Group F, which Wenger hopes his side will be able to progress from with 10 points.
"I thought it would be a tricky game here," the Frenchman said. "Before the game I was conscious Marseille would be well focused.
"They know they are not favourites, they had nothing to lose and the French are dangerous when they are in that position.
"I knew it was important to get three points here if we want to have a chance.
"I said we needed 10 points at least so to start with three is good.
"Marseille had a very good first half but we didn't make big mistakes at the back and were patient enough to win it in the second half.
"I felt we were a bit within ourselves in the first half, a bit timid, and Marseille were more mobile and first on the ball.
"They dropped in the second half and we took advantage of our strong moments. That got us three very important points."
The result on the French south coast means Arsenal have now won 10 successive away games on the road, including beating Fenerbahce, Fulham and Sunderland this term.
Wales international Ramsey has scored in all of those matches and, after last night's strike, has six for Arsenal already this season.
"Honestly, I didn't expect him to score so many goals," Wenger said.
"He's especially improved in his passing, his technical quality. He was always in good positions in the box, but scoring is a bit cyclic.
"You have periods when it goes in and others when it doesn't. For me the most important thing is the quality of his game."
Few could have predicted such a change in fortunes for Ramsey, whose career looked like it would never quite recover from a horrific double leg break suffered in a challenge with Stoke's Ryan Shawcross in February 2010.
"I decided to be patient with him because when you have been injured for such a long time it takes a while to get back to your best," Wenger said of the 22-year-old midfielder, who gave away the penalty from which Jordan Ayew pulled one back in stoppage time.
"The only thing is, you never know if he will come completely back.
"But when you are injured before 20, you come back to your normal level and improve like you have not been injured."