The French champions begin their title defence at Caen on Sunday, with both Mbappe and Neymar set to return to the starting lineup.
"It was a really incredible feeling. We did it!" Mbappe told PSG TV, referring to the World Cup win.
"At the start, you just want to enjoy the experience, but the further you go, you start thinking about winning it. It's the World Cup, something unique.
"You realise pretty quickly that you have to make sacrifices to win something so special. And I have no problem making sacrifices to win.
"But now we're back in Paris with new objectives, even if we always want to win. In Russia it was with the national team and now I'm back with my club side - but we still have to keep on winning."
PSG have had a quiet summer, bringing in only Gianluigi Buffon in goal, but Thomas Tuchel's side are predicted to go far on all fronts this season.