A second-half goal from Neymar saw PSG to a 1-0 victory at the Stadium Municipal, extending their winning streak to six games in all competitions.
Emery was happy PSG continued their strong run of form run, saying it was vital ahead of the last-16 first leg with the reigning European title holders.
"I think we played the kind of game we had to, but it's true it will be different on Wednesday," he said.
"It will be different when it comes to expectations, and the kind of game we will play. But I think that the team is ready.
"We built up our confidence further. It's important to keep our level up in Ligue 1 and before our Champions League game."
PSG have been given a stern warning of their own, however, as Madrid coach Zinedine Zidane warned they will have to be at their best if they are to keep Cristiano Ronaldo quiet.
The Portuguese netted a hat-trick to help Los Blancos to a win over Real Sociedad in La Liga on Saturday and is already the top scorer in the Champions League this season on nine, while PSG star Neymar has six in the continental competition.