The 18-year-old made a stunning debut for the Gunners on Tuesday in the 5-0 win over Nottingham Forest in the Carabao Cup, with the Brazilian scoring twice.
However, Martinelli has revealed he trained with the Red Devils in his younger teens, but the Old Trafford giants did not sign him, per Daniel Davis of MailOnline.
"Between 2015 and 2017 I went there [to United] four times and trained for about 15 days.
"I asked to take a picture with [Patrice] Evra, [Marouane] Fellaini and other guys.
"[Paul] Pogba knew I was Brazilian and asked if everything was okay with me and where I was playing. We took a picture together."
Martinelli was given a starting role by Unai Emery for the game against Forest, and the forward took his opportunity to impress. The player was signed by Arsenal for £6 million from Brazilian club Ituano in the summer.
According to BBC Sport, Martinelli has previously said he bases his game on Cristiano Ronaldo and explained it was "a dream" to arrive in European football with the Gunners.
Emery had noted the improvements in the attacker's game during his first weeks at the club in pre-season, per BBC Sport.
"We were waiting and watching him, how he could improve with us," said Emery. "He played very well in pre-season, he was working each training with big spirit and performance."
Martinelli will provide vital cover for Pierre-Emerick Aubameyang and Alexandre Lacazette this season, and his developing goalscoring threat could see him become a regular in the Emirates Stadium squad.