The Londoners recorded three consecutive league wins for the first time since December as Alexis Sanchez scored twice and Theo Walcott and Granit Xhaka also netted at the KCOM Stadium on Saturday.
Confessing his side were not ready for the start of the campaign when they took only a point from their first two matches, Wenger said: "We had a big shock in our first game and I said straight away we faced a mental test to see how we responded to that, and I think we have responded well.
"We were not ready physically at the start of the season, but this was a convincing win."
Sanchez has six goals in five games against the Tigers and could have claimed a hat-trick as regular penalty taker Santi Cazorla looked on, but the Chile forward saw his first-half spot-kick saved after Hull defender Jake Livermore was sent off for handball.
"I have to check that but I think Santi was at the head of the list," Wenger said after seeing his side fail for the second time from four penalty attempts this season.
Wenger refused to criticise Sanchez, adding: "We have three players (takers). Did he not want to, did he (Cazorla) tell Sanchez? I don't know.
"As a manager, you ideally want all the things to happen in the way you decide, but we don't live in an ideal world. The keeper made a good save."
Wenger singled out England winger Walcott, who scored for the first time since the opening weekend defeat at home to Liverpool, and young forward Alex Iwobi for special praise.
"I started Alex last year because I've seen there is some quality, enough to give him a go," added Wenger.
"He has a lot in the locker, he's only 20 years old. He has gained in confidence now and has gained power."
Asked if this was a big season for Walcott, 27, he added: "He was influential in both halves of the game with the quality of his runs, he is very dangerous."
Hull have taken one point from three games since opening the season with back-to-back victories.
On-going takeover talks and uncertainty over the future of caretaker manager Mike Phelan, who is yet to accept an offer to take the job full-time, have contributed towards the downturn in results for the pre-season relegation favourites, who had pulled it back to 2-1 with a late penalty from Scotland midfielder Robert Snodgrass.
Phelan is leaning towards taking the job, with an announcement expected by the middle of next week.
The former Manchester United assistant has been in charge for almost two months since the departure of Steve Bruce, and he said: "My future is a lot brighter, I think.
"I was offered some terms 48 hours ago and due to this game being quickly upon us I left it alone.
"I've now got to read those terms and have a good look at them tomorrow. From there, I'll have a sit down with the owners to discuss it a little bit further.
"Once we've sorted out details of who is taking this club forward, then we'll go from there.
"I've enjoyed everything so far. I'm obviously disappointed with the result today, but that's the nature of the beast."