The 19-year-old moved from Monaco for big money on transfer deadline day, and Merson questioned why Arsenal boss Arsene Wenger didn't move for him.
The 47-year-old emphasised the difference between playing for the principality club and playing for United, and expressed his belief that Martial will have to start well in order to make a success of his move.
"That's a lot of money for someone who has been playing in Monaco in front of 5,000-6,000 people every week, on top of a car park," he told Sky Sports, in relation to the players large transfer fee.
"Then you have to go and play in front of 70,000 people as the most expensive teenager of all time. That's a lot of pressure on the lad.
"When you go and play for Manchester United you have to start well. If like, off the top of my head, Anderson, you have a couple of bad games, you never get it back. This lad has to start very, very well.
"I feel for him. It should have been an undisclosed fee. It's put too much pressure on the lad, and I'll be very interested to see how he handles it."
The former Gunners star also pinpointed the fact that Arsene Wenger was never linked with the player despite obvious close ties to the Frenchman's former club and youth football in his home country in general.
"Arsene Wenger knows that scene very well. I think he knows that scene better than anybody in world football. And he never went for him," Merson added.
"I don't know if he didn't go for him because he thought it was a lot of money but I'd be interested to see what Arsene Wenger thought of this lad.
"His knowledge of French football is second to none and he would know Martial inside out."
It is easy to criticise United's decision to sign the 19-year-old when considering what it cost to take him to Manchester. What was originally stated to be £36 million, has now been claimed to be a worth up to a huge £58 million by Sky Sports, making the teenager one of the most expensive players to have ever moved to England.
In all honesty though, United, fresh from their new deals with Adidas and Chevrolet, not to mention the impending TV money and a return to Champions League revenues, have clearly decided the player is a talent worth investing in. Whether the forward cost £25-30 million or over £50 million, there will be pressure on him, and if Martial struggles he will be labelled a disappointment regardless of what it cost to bring him to Old Trafford.
Given his age, it looks like United will give the player plenty of time to be integrated into the Premier League, and as long as he is given the necessary time and patience to develop his game over the next couple of years, it would be some surprise if Martial is not one of the Premier League's top strikers before he is in his mid-20s.