Alexandre Lacazette's goal nine minutes from time was enough to ensure a 1-0 victory in Piraeus with Arsenal now in pole position to qualify from this round-of-32 clash.
While the France striker wasted a couple of other decent chances to really wrap up the tie, Arteta will again be impressed with the defensive work of his players.
"The wide players before used to have different behaviours now they are tracking back everybody.
"I think we are doing a lot of work on that to stay as compact as possible in many situations when we don't have the ball and yes we are pleased with that because it is a big part."
As Lacazette continued a mini-revival – having gone nine games without a goal before scoring off the bench in Sunday's 4-0 win over Newcastle – teenager Bukayo Saka was again heavily involved.
His cross for Lacazette's late finish was his fifth Europa League assist of the season, more than any other player in the competition.
The 18-year-old is naturally a winger but has impressed after filling it at left-back in recent weeks and Arteta was again full of praise for the England youth international.
"Absolutely, I'm really pleased (with) the way he's developed," he added.
"I think he's really pleased the way he's handling this situation because there's a lot of highlights on him at the moment but he's really humble.
"He's always asking questions, meeting with my assistants and willing to improve. He's a great kid and he's very brave.
"He makes big decisions in the final third, he doesn't hide and he's got the vision and the ability to execute in spaces that are really tight which is a big gift."
Meanwhile, Olympiacos coach Pedro Martins has refused to rule his side out of progressing at the expense of Arsenal – with the second leg set for next Thursday at the Emirates Stadium.
"Nobody likes to concede a goal in the final minutes," he said.
"In general terms, we played well in a match with intensity. Football is all about effectiveness – we didn't convert our chances, our rivals did.
"But today was just the first half of the tie. As far as I am concerned, the London match is open.
"We have a good team, quality players and I am confident that we can respond to the challenge."