The German defender was signed soon after the comprehensive defeat at Old Trafford and suffered a mixed opening to his time at the club.
However, the former Werder Bremen man was impressed by Wenger's reaction to the defeat and claimed his handling of the situation increased confidence among his players.
"We made a lot of mistakes as a team (against United) - every player," he told talkSPORT after the sides played out a 0-0 draw at the Emirates Stadium on Wednesday.
"But we learned quickly, and the manager is the key to that because he trusts the players.
"When we made mistakes – as I did a lot of times – he always said afterwards: 'You are good enough and intelligent enough to know what you did wrong, and now you have to prove to me that you understand.'
"That's what he always said when we had a few setbacks and now, after two and a half years, the squad feels more confident. That is down to the manager, because he stuck with the players and to the things he was doing."
Mertesacker has featured in all but two of Arsenal's 26 Premier League games this season, helping the London club concede an average of just a goal a game.
