PSG were infamously dumped out in the round of 16 last season as they coughed up a 4-0 first-leg lead over Barcelona to lose 6-5 on aggregate.
But Neymar, who has been linked with a transfer to Los Blancos, believes his side will not fall at the same hurdle this time around.
"We know it will be a difficult game. Real Madrid's players have been playing together for many years and aspire to their third consecutive title," the Brazil star said at a press conference for PSG's Qatar Winter Tour.
"But I know we can beat them.
"We want to make history and we will do everything possible to defeat them."
First on Madrid's agenda is their clash with Barca in Saturday's El Clasico as they try to go about reeling in an 11-point deficit.
PSG boss Unai Emery, who will be in attendance, tipped Zinedine Zidane's men to make the most of their home advantage at the Santiago Bernabeu.
"They are many points behind, but on Saturday if one team is favourite to win then it should be Real Madrid as they are at home," Emery told Marca.
"When the most important matches come along, I am convinced they will be good. Real Madrid still have a really good team."