But after a brilliant final round of five-under par 67 in the PGA Championship at Whistling Straits, the 27-year-old erased the demons to claim his first major, the Wanamaker Trophy.
The former Stoke No 1, playing in place of the suspended Thibaut Courtois, made several crucial saves against Manchester City but was unable to stop the Blues crumbling to a 3-0 defeat against Manchester City on Sunday.
Wenger, whose side finished third last season, has been under pressure to add players to his squad, with keeper Petr Cech’s £10m signing from Chelsea the only summer arrival at the Emirates.
First-half goals by Shinji Okazaki and Riyad Mahrez put Leicester in control and although the host hit back through Dimitri Payet after the break, West Ham was unable to fix the damage at Upton Park.
The 29-year-old has failed to score in United’s first two Premier League fixtures of the season and looked off the pace in Friday’s 1-0 victory over Aston Villa.
Arsenal are expected to provide tough competition for Chelsea in their hunt for their first league crown since 2004 this season, but Wright saw the West Ham defeat as proof the Gunners need to find a battling mentality to win silverware this term.