The Spain midfielder has caught the eye with impressive displays in the first three Premier League games following his £15million summer move from Malaga.
Cazorla netted his first Arsenal goal in the 2-0 win at Liverpool as the Gunners headed into the international break unbeaten and on the back of three clean sheets. The 27-year-old is again expected to be at the centre of the action when newly-promoted Southampton come to Emirates Stadium on Saturday looking for their first points on their return to the top flight.
"Cazorla has gained the respect of everybody very quickly. Cazorla is humble, he loves the game and that is what you want from every football player," Wenger said. "They talk on the pitch, don't need to speak too much, just go on the pitch and show what you can do. That is what he does. He loves the game, loves to play with his partners and that is the best way to gain respect from everybody."
German striker Lukas Podolski, signed from Cologne, also found the net at Anfield, producing a dynamic display on the left side of the attack. While fellow summer recruit Olivier Giroud, top scorer in Ligue 1 for champions Montpellier last season, has yet to break his Gunners duck, Wenger has been impressed by how the trio have settled into the hustle and bustle of the English domestic game.
"They are used to European football much more than the Premier League. The Premier League is a bit more special thanks to the rhythm of the games, the pace, the intensity of the commitment, intensity of every challenge," he said.
"Sometimes [it is difficult] to adapt to that, but the way we play is a very continental style, so it gives them a good chance to adapt very quickly. "Players like Cazorla have adapted in a speedy way, the game goes through them. Sometimes it is easy in the middle of the park, sometimes it is easy in the centre of the pitch to adapt because the game goes more through you."
Southampton head to north London propping up the Premier League and without a point from three matches.
Those statistics, though, do not tell the whole story for Nigel Adkins' men. Having given champions Manchester City a fright on the opening weekend - when they had led at the Etihad Stadium with 20 minutes left - the Saints then came within moments of earning a draw against Manchester United before Robin van Persie, a £24million signing from the Gunners, completed his hat-trick in stoppage-time to seal a 3-2 win.
Wenger feels those disappointments of not being rewarded for their industry and positive play could change Southampton's mindset on Saturday. "Three games without a win affects the way you approach the game," he said. "They know they have potential. They will of course try to transform that potential into points, but maybe their approach will be a bit more cautious."
Wenger has been impressed with Adkins' achievements, the former Scunthorpe physio having overseen successive promotions up from npower League One. "He had a very peculiar [route] to get the job, but he has done well," Wenger said on Arsenal Player.
"I had the chance to see him when we played down at Southampton in pre-season. "He is a very interesting man who wants to get information, and did that in a very convincing way. "I am impressed with how well he has done and the way he has done it."
Theo Walcott is a doubt to face his former club because of a virus which saw him miss England's World Cup qualifier against Ukraine at Wembley.