Day believes Wenger's greatest achievement at Arsenal was changing the culture of the club long before the trophies followed.
The former Arsenal academy midfielder, who trained under Wenger before going on to play for Bournemouth and later coach Bangladesh's national team, has reflected on the Frenchman's lasting influence in an exclusive interview with Football Presse.
Day was part of Arsenal's academy during one of the biggest turning points in the club's history, arriving under George Graham before witnessing Bruce Rioch's brief spell and then Wenger's revolutionary arrival.
"I think my strongest sort of memories of those days was how detailed and professional that he was," Day told Football Presse.
"He changed the mindset of Arsenal Football Club, which was used to having a drinking culture and players not necessarily looking after themselves fully all the time, to going a completely different direction.
"It was like food, making sure they was eating the right foods, taking the right supplements, making sure they were stretching. Training looked more detailed and clearer instructions were given.
According to Day, Wenger's personality was every bit as influential as his methods.
"He was a very calm person around the ground, and I think that influenced the older players.
"So I think for me it was an eye-opener that if you do things correctly and professionally, and you put foundations in place and a structure and you stick to it and you're disciplined, then you can go and achieve what he did at Arsenal Football Club.
Although Day did not work extensively under Wenger with the first team, every session left an impression.
"I didn't have loads of training sessions with Arsène, but when I did, it was very detailed.
"He was very calm, got his point across.
"His sessions were all done by time, and once that time had finished, regardless of how the session went, that would be the end of that practice and then he would move on to another one.
"I always found him very approachable, very knowledgeable and someone that you could trust and speak to if needed.
"Very obviously detailed in his work, a very good coach, knew the game inside out, which he has shown over the years."
Like many academy players of that era, Day found himself rubbing shoulders with some of the greatest players in Arsenal's history.
"It was a fantastic environment for me as a youth player to train with Dennis Bergkamp, Patrick Vieira, Emmanuel Petit and Marc Overmars.
"I didn't train with them every day, but when you had them days with the first team, I think you don't really appreciate it until you're a lot older how good they were.
"Their technique and ability in training was miles above what we'd been used to.
"So you learn from that, you take all their good points and you try and add that to your game.
"It was a fantastic experience just being on the same pitch as them superstars.
"And again, one of them memories that you won't forget as a player."
While Wenger's coaching methods left a lasting impression, Day says Arsenal's biggest lessons extended far beyond football.
"I think Arsenal is a club that teaches you many things.
"Discipline and respect are two of the main things that come out of Arsenal.
"I think if you look at it, it's got so much history and you have to respect the history.
"I think that has taught me how to treat people all over the world, on and off the pitch.
"That's one of the main things that I've taken away from some of the coaches, not just about the football side of things, but how to treat people and how to try and get the best out of people that you're working with.
"So for me, Arsenal has played a big part in not just the coaching side of things, but off the pitch and being a human being, a good human being, hopefully."
Those values have stayed with Day throughout a coaching career that has taken him from England's lower leagues to international football with Bangladesh and back again, where he remains convinced that the standards Wenger demanded remain the benchmark for every coach hoping to build lasting success.