'It's not a case of proving anything to other people. I don't pay too much attention to that. I want to prove to myself that I can succeed.'
Many questioned United's wisdom in allowing experienced strikers such as Javier Hernandez, Robin van Persie and Radamel Falcao to leave while putting so much expectation on Martial's young shoulders.
The deal with Monaco, which could rise to £58m, made him the most expensive teenager in world football. He had moved there from Lyon only two years earlier for £4.4m after four first-team appearances.
Martial, shy off the pitch and remarkably calm on it, turned 20 only in December and has taken it all in his stride. The final will be his 49th game of a season in which he has scored 17 times.
That total includes a dramatic late winner in the semi-final against Everton last month.
Martial is the man Crystal Palace will fear most on his return to Wembley on Saturday.
'I didn't try to put too much pressure on myself,' he says.
'Obviously, people mention the price tag but I just came here to do my best. What helped was that I'd already gone through quite an expensive transfer in the past when I moved from Lyon to Monaco.
'I just tried to remain true to who I am as a person. I've always been quite calm and relaxed, and had confidence in my ability.
'Things have gone relatively well but I feel deep down I could have done better. I hope things will go even better next season.'
Even for a player renowned for his speed, Martial has adapted incredibly quickly. He scored four goals in his first four games - including a brilliant effort on his debut against Liverpool at Old Trafford in September. It is, he says without hesitation, still his favourite.
'It just couldn't have been a better way to start. From being a kid I'd dreamed of playing at Old Trafford and to score in my first game in such a way against United's biggest rival - it couldn't have turned out better.
'It freed me up and helped me settle in. I drew a lot of confidence from scoring. Fortunately, things started to go well from that moment and I kept scoring regularly.'
And it's not just goals. His assists are also vital to Louis van Gaal's side, terrorising defences down the left with quick feet and devastating acceleration.
Martial prefers to play through the middle but his versatility has drawn comparisons to Thierry Henry, who graduated from the same Paris-based club, CO Les Ulis. So, too, the cool demeanour and clinical eye for goal. Paul Scholes has gone so far as to say Martial doesn't 'look bothered' if he scores.
'I'd heard that,' he says. 'Not happy when I score? Scoring makes me happiest because it's what it's all about. I'm really happy inside but I'm not a guy who shows that sort of emotion on the outside too much.'
Now an integral part of France's squad for Euro 2016, Martial has been linked with a return to Paris Saint-Germain but insists he is happy in Manchester. The fans have taken to him, even though it is too early to bestow the legendary status enjoyed by another famous Frenchman.
Eric Cantona scored the winner to beat Liverpool in the 1996 final and Martial would gladly settle for a similar outcome against Palace.
'I love Manchester and see myself being here for a good while yet,' he says. 'If I was to become an icon I'd be very happy but you can't possibly say at this stage. It depends how I play, how many goals I score and how I perform in the years to come.
'I'll need to score a lot of goals and the team will need to pick up trophies. We're going to do everything we can to bring the FA Cup back to Manchester.'
