Alexis Sanchez made his Arsenal debut at the weekend, playing in both matches at the Emirates Cup.
The Chilean international is tipped by many to light up the Premier League this season, but knows winning trophies will not be easy.
At Barcelona, Sanchez picked up several trophies, including the La Liga title, Copa del Rey, UEFA Super Cup, and FIFA Club World Cup.
At Arsenal he knows the Premier League is more competitive, illustrated by the club's failure to win the trophy since 2003/04.
He told the club's matchday Emirates Cup programme: "I feel that playing in England will perhaps be the most challenging step I've ever taken in my football career.
"There are plenty of competitive teams in the league and I will do my best sincerely to win as much as possible."
Arsenal are currently the fourth favourites with the bookies to win the Premier League in 2014/15.
Ladbrokes make Chelsea and Manchester City joint favourites at 15/8, with Manchester United behind them at 5/1. Arsenal are listed at 13/2, ahead of 10/1 Liverpool.
La Liga has however become far more open than it had been in previous seasons, thanks to Atletico Madrid's title winning breakthrough last season. Barcelona are narrow 11/10 second favourites to lift the trophy this season behind Real Madrid.