At Arsenal Arshavin wore the number 23 shirt, last worn by Sol Campbell. As Arshavin had played for Zenit in the 2008–09 Champions League, he was cup-tied and could not play for Arsenal in the knockout phase. Arshavin made his debut for Arsenal against Sunderland on 21 February 2009 in the Premier League, which ended 0–0. On 3 March 2009, Arshavin made his first contribution in a Premier League game against West Bromwich Albion by setting up a goal for Kolo Touré in the 38th minute via a free-kick, the second goal in a 3–1 victory. On 14 March 2009, Arshavin scored his first Arsenal goal in a very tight angle going solo against Blackburn Rovers in the 65th minute of the game. He later provided an assist to Emmanuel Eboué for the third goal of the game, which ended 4–0 to Arsenal.
On 21 April 2009, Arshavin was named Man of the Match when he scored all four Arsenal goals in a tight match against Liverpool at Anfield, which ended 4–4. It was a thrilling encounter, and the first time Arshavin had scored four goals in one match in his entire career. He also became the first away player to score four goals in a single league match at Anfield since Dennis Westcott for Wolverhampton Wanderers in 1946, and the first Arsenal player to score four goals in any match since Júlio Baptista in 2007, who also achieved the feat against Liverpool in Anfield. Additionally, he became only the sixth player in Premier League history to score four goals in an away match. Arshavin captained Arsenal for the first time on 2 May 2009 in an away match against Portsmouth, where they won 3–0 with Arshavin gaining two assists and a contentious penalty. On 8 May, he was named Premier League Player of the Month for April. He was also voted as Arsenal's Player of the Month for April and May and came second in Arsenal's Player of the Season poll, despite only playing in the second half of the season and playing in fewer than a quarter of Arsenal's matches all season.
Arshavin came off the bench to score two goals in Arsenal's 2–1 pre-season victory on 1 August over Atlético Madrid in the Emirates Cup. Manager Arsène Wenger commented afterward that "[Arshavin] knows how English football works", adding, "He knows as well that now he's part of the team from the start. I believe the team knows as well how important (he is) and how big an impact he can have on the results." On 26 August 2009, Arshavin scored his first UEFA Champions League goal for Arsenal in the 74th minute in a 3–1 win over Celtic. He also scored a 30-yard shot against Manchester United at Old Trafford on 29 August 2009, which was his first goal of the season although Arsenal lost the match 2–1. In early December, Arshavin put in an excellent display against Stoke City, playing in an unfamiliar role as centre-forward left vacant after Robin van Persie's injury. He won a penalty which Fàbregas missed before scoring himself and later assisted the second goal, with Arsenal winning the match 2–0.
On 13 December 2009, Arshavin scored his fifth goal against Liverpool as Arsenal came from behind to beat Liverpool 2–1 at Anfield again, also winning the Man of the Match award in the end again. On 20 January 2010, he scored again in Arsenal's 4–2 victory over Bolton Wanderers, which helped Arsenal reach the top of the Premier League for the first time since August. However, he suffered a calf strain against Barcelona, ruling him out for three weeks. Arshavin missed one of two games in May due to injury, but scored for the last time of the season against Fulham, in a match which Arsenal won 4–0.