The Arsenal boss wants to see more patience after several sackings already.
It has been a tough first half of the campaign for the Magpies, who are currently 18th in the table after 19 games.
They have managed to just four wins all season, the joint third worst amount in the league, and have been beaten 10 times, the third worst total in the league.
Big wins over Liverpool and Tottenham in December lifted their spirits and hopes though, and Wenger has urged Newcastle to give McClaren more time to turn things around.
“It is a long term job, it is impossible to transform a club of that stature in six months, give him time,” the Mirror reports him saying.
“Newcastle is a very exciting project. It’s a huge club, great potential and give Steve McClaren time.”
“Patience is not a quality we have much of in society, but in football you need it.”
If Newcastle are to escape another relegation battle this season, McClaren will need some of his big signigns to improve their early season form drastically.
Aleksandar Mitrovic is the biggest of those, with him so far having only shown flashes of his quality in a side that is desperate for goals.
If he can start to find the back of the net, with Ayoze Perez and Georginio Wijnaldum also impressing, there is every chance they can start to escape the bottom three given how tight the league is this season.