Goals from Theo Walcott and Aaron Ramsey made sure of the three points, before Jordan Ayew netted a late consolation from the penalty spot for the hosts.
The victory made it a club-record 10 straight away wins for Wenger's side. The Frenchman, who took Arsenal to the Champions League final in 2006, was quick to praise his side for a resolute and patient display.
"[The away record] shows that maybe defensively we are a bit more stable and a bit more serene," he told Sky Sports. "It was important for us not to give the first goal away. Marseille had an excellent first half. We were a bit timid and in the second half we grew up and took advantage of our good moments in the game. It was a victory linked with patience and experience.
"We have all these players who can make something special. I knew that it would be a difficult game. [Marseille has] a passionate crowd, players of quality. Marseille is a good side."
Ramsey's strike made it five goals in seven appearances for the Wales international this season, and the 22-year-old is eager to help Arsenal continue its impressive form.
"[The victory is] vital. We have a tough group and it was important to get off to a good start and get three points," Ramsey said. "I'm happy with the way I'm playing. I'm playing with confidence, I'm getting into positions and putting them away at the moment.
"I think it's just as important to keep that run going. Our away form has been fantastic. Hopefully we can continue to build on that."