The Colombia international is eager to learn from his new team-mates as he aims to taste Champions League success with the Spanish giants
The Colombia star joined los Blancos this summer in an €80 million deal from Monaco and has enjoyed mixed success to date with the European champions.
James played in the victorious Uefa Super Cup clash against Sevilla and scored against city rivals Atletico Madrid in the Supecopa de Espana, though his side went on to lose 2-1 on aggregate to Diego Simeone's men.
However, the 23-year-old has now set his sights firmly on winning the continent's greatest prize as he works to improve alongside the likes of Cristiano Ronaldo and Gareth Bale.
"I think it's something great to win the Champions League with Madrid, it's something special to be at a club that wants to win something and I hope we can win it again," he told reporters at the unveiling of Madrid's new Champions League strip.
"It's a club from another world, unique. To be alongside great stars is something really special. I hope I can get better, bit by bit."
James made his Liga debut for Madrid in the 2-0 win over Cordoba at Santiago Bernabeu on Monday.