Former Everton and Wigan boss swops Hull City for Belgium
He says his team have "the world at their feet" but warned against over-burdening them.
Belgium remain second in the Fifa rankings despite losing 3-1 to Wales in the Euro 2016 quarter-finals.
"We have the talent but you need to build a winning mentality and play without too much expectation in a 'golden generation'," Martinez said.
The Spaniard, sacked by Everton in May, also said he would turn Romelu Lukaku "into a world-class striker".
Lukaku, linked with a return to Chelsea, scored 18 league goals for the Toffees under Martinez last season.
Everton finished a modest 11th, conceding 55 goals, and Martinez was dismissed before the final match of the season after three years in the post.
Belgium, who also feature Everton midfielder Kevin Mirallas, are yet to win a World Cup or European Championship.
Asked about his new role, Martinez said: "I've been working with Belgian players and I've been intrigued by Belgian football, the talent of the Belgium players is there to be seen.
"We will always work to be on the ball and be an attacking team, but you have to be able to defend. We want to play attractive football but we have to win.
"Sometimes there seemed too much pressure, carrying the hopes of the country, and we're all responsible for that."