For Wenger, the League Cup remains the one that got away. Arsenal last won the competition back in 1993, with Wenger having not won the trophy during his time in charge of the club.
That's not to say Arsenal haven't come close, having been defeated in both legs of the semi-final by eventual winners Middlesbrough back in 2004 as well as beaten twice in the final itself, first by Chelsea in 2007 and then Birmingham in 2011.
Speaking to 'Sky Sports' ahead of Sunday's final Wenger was keen to stress his desire to finally win a competition that he has ofter used to experiment with young players.
"Yes! Of course (I want to win). I haven't won it, but I must say as well that over the years I have always used the League Cup for the youth team, and we always had good young players.
"It has changed a little bit now, we are in the final, and it's a good opportunity to win a trophy. You have so many teams in the Premier League who fight for trophies, and like everything you want to win."
On the other hand, Manchester City boss Pep Guardiola continues to look for his first trophy in English football. The Catalan won a plethora of titles as a player, including a Champions League and has so far repeated the feat as a manger, quickly establishing himself as one of the world's top bosses.
However, after City's FA Cup defeat to Wigan, the side have a point to prove as they look to take home what they hope will be the first of three trophies this campaign.