The Brazilian is confident he can win titles in France and become an even better player after completing his move to the Ligue 1 champions
The Brazilian defender, 19, was linked with a move to Barcelona this summer - one year after joining Roma from Corinthians - but PSG were the club to pounce, signing him up on a five-year deal on Friday.
Marquinhos, who is now the fourth most expensive defender of all time, revealed his excitement at joining les Parisiens and shrugged off suggestions that his €35m price tag could affect his performances.
"I chose PSG because they presented me with a wonderful project," he told Lance. "PSG's a great club that provides me with an excellent structure. There are great players here and with them I can win a lot.
"No, I'm not afraid I will fail, I have to stay with my my mind focused. It's just a matter of personality and learning.
"I will always work hard because in football is easy to lose what you've got. The interest of many clubs is the result of my effort. Nothing's fallen from the sky for me - I've conquered through struggling and suffering and proven my worth when I was given the opportunity to do so."
The centre-back, who is expected to form a partnership in the Parc des Princes defence with compatriot Thiago Silva, insists he has fond memories of his single Serie A season and revealed he has World Cup 2014 aspirations.
"It's been wonderful at Roma," he added. "I arrived with great humility and a little confused by being out of the club where I lived for 10 years to go to such a different city, with a different language and different customs.
"I was lost but I soon adapted. I'd known about Italian football and I grew up fine. Even here in Paris, I will as I did in Rome: trying to find my form with modesty and hard work. My dream is to play in the World Cup in my country."