Arsenal left Highbury to move around the corner to the Emirates in 2006 but had to spend several years paying back their new 60,000 capacity arena.
The Gunners had to sell several of their star players during that time, with the sales of Cesc Fabregas, Samir Nasri and Robin van Persie most notable to the supporters.
Wenger was restricted in the transfer market but still managed to keep Arsenal in the Champions League, which was a vital source of income.
The Frenchman has been under serious pressure in recent months with his contract running out at the end of this season but says this has not been his toughest time at the club.
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Arsene Wenger says Arsenal moving to the Emirates Stadium began the toughest period of his life
Arsenal had to sell the best players, we had to stay at the top, we had to stay in the Champions League
Arsenal boss Arsene Wenger
Wenger, speaking in an interview with BT Sport ahead of the Emirates FA Cup final with Chelsea tomorrow, said: "2006 started the most difficult period of my life.
"We had restricted finances, we had to pay back a huge amount of money. We had to sell our best players, we had to stay at the top, we had to stay in the Champions League and we had to keep 54,000 people (in the ground).
"There were many debates when you build a stadium about how big can it be? It's quite simple, at the time it was £4,000 a seat.
"You multiply that by 60,000 and it's £240million plus we had to buy all the soil and plus all the businesses we had to buy out so it went to over £420million and we had to pay a huge amount of money back every year.
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Arsene Wenger says Arsenal needed to pay back over £420million for the Emirates
"That's why we had to stay in the Champions League because today the television money makes the weight of the Champions League money much weaker but at the time it was absolutely need.
"That was for me the biggest period of pressure between 2006 and 2014, I would say today if you tell me 'would you do that again?' I would say 'no thank you very much, I'll leave it to somebody else to do it' because it was an unbelievably tough period."
Watch the full interview from 4:30pm tomorrow on BT Sport 2, followed by Arsenal v Chelsea in the Emirates FA Cup final. Visit btsport.com for more information.