The Gunners make the short trip across north London on Sunday for The FA Community Shield against Chelsea.
And after winning their second successive FA Cup at the venue in May and last year’s Shield victory against Manchester City, the German international believes they can approach the game with confidence.
Arsenal v Chelsea
The FA Community Shield supported by McDonald's
3pm, Sunday 2 August 2015
Wembley Stadium connected by EE
Live on BT Sport
"We’re really proud of our good recent record at Wembley," he told the official match programme.
"There’s always been that special tension in those matches and I guess that everybody is really aware and wants to win something.
"Wembley and The FA Cup has a special feeling, a big pressure, but if you look at our results, it always seems that we could always handle that pressure.
"The FA Community Shield is a good test for both teams to see how fit they are at this stage of pre-season, but it’s also a very competitive match in front of many fans in a world class stadium.
"We are playing for a trophy and that always adds a little bit of spice to the occasion. I think everyone felt that last season when we beat Man City, and it also felt good because we had a good performance on the day.
"This is a great day for the fans of both sides. Everyone in the football world will be aware of this fixture. This year we have a different opponent, Chelsea, a top side who will be on their toes."
Despite their recent success in The FA Cup though, the big defender is also wary of the need to improve in the Premier League this season.
And the 30-year-old begrudgingly admits that they can take inspiration from Sunday’s opponents, after seeing Jose Mourinho’s side pick up the league title last term.
"I think if we can learn something from Chelsea it is to be consistent over the whole season," he said.
"Chelsea were really consistent and always defended well from the front. They didn’t lose a lot last season and when you do that you are capable of winning the League.We respect them for doing that.
"We haven’t played Chelsea at Wembley for a long time. They are a very strong squad and we all know how well they played last season.
"But it’s always good to win a big match and of course getting to lift the trophy would be great for everyone at the club, especially to do it against Chelsea."
You can read the full interview with Mertesacker in the official match programme for the Community Shield. Click here to order your copy online, or download the digital version from Apple Newstand by clicking here.