Juve reached the final of the prestigious competition in 2014-15, losing 3-1 to Barcelona in Berlin, while Higuain is yet to win the tournament, having left Real Madrid for Napoli at the start of the season in which Carlo Ancelotti finally guided Los Blancos to the club's long-awaited 10th European Cup success.
The Bianconeri parted with a huge sum, approximately €90 million, in July to lure Higuain away from Stadio San Paolo as they seek to go one better on the big stage.
And the Argentine striker feels Massimiliano Allegri's team has what it takes to triumph in Cardiff on June 3, with a round-of-16 tie against Porto their next obstacle.
"We can win the Champions League, but we have to be calm," Higuain told La Stampa ahead of the first leg at Estadio do Dragao on Wednesday.
"I know we're a strong team and I know we can get to the end. So we have to start that journey away at Porto."
Higuain incurred the wrath of Napoli's passionate supporters by swapping the Partenopei for Turin, but the forward has no qualms about the merits of the switch.
"Playing with the best players makes you improve, it's logical," he said.
"Whoever you are, you can always learn.
"All you have to do is look at Gigi [Buffon], he's won everything but he still trains like a kid. That's true for Dani Alves and other team-mates too.
"It's hunger that makes you win, even if you've done it before.
"I know I made the right choice, I don't feel any pressure. In fact, it's a privilege for me to think that they bought me while thinking about winning in Europe."