Arsenal were heading out of the League Cup on Tuesday evening before launching an incredible comeback from 4-0 down to progress to the quarter-finals, as they bid to end their seven-year wait for a trophy.
The 12-goal thriller at the Madejski Stadium could go down as one of the best games in English football history.
Theo Walcott inspired the amazing comeback to complete the turnaround and clinch a 7-5 win.
Wenger said: "We went from disaster to saving our pride … The fans stayed behind the team throughout and I have to give them credit. It was difficult to be worse in the second half than we were in the first … Maybe this is one of my greatest victories. You cannot play for Arsenal and give up, no matter what the score."
"This [tournament] is not one of our priorities, but if we had gone out the way we played in the first half, it would not have been one of my proudest moments as well … But this was like a tennis game. It's important to win and to be in the hat for the quarterfinal."
Arsenal head to Manchester United on Saturday, when they will return to the scene of one their most embarrassing scorelines in recent memory.
Wenger's side suffered an 8-2 humiliation at Old Trafford last season and there seemed to be danger of history repeating itself against Reading, albeit with Wenger having fielded a largely second-string side.
They were 4-0 down before Walcott replied on the stroke of half-time.
But with the Gunners appearing to only have pride to play for, Oliver Giroud, Laurent Koscielny and Carl Jenkinson all struck to send the tie into extra time.
Giroud and Francis Coquelin threw their shirts into the away end at the full-time whistle as they thought a replay was on the cards, but that moment of farce only added to the sense of unreality on an extraordinary night.
It was not over there, as Arsenal's Marouane Chamakh and Reading's Pavel Pogrebnyak swapped goals before Walcott and Chamakh killed off Reading for good deep into extra time.
Wenger praised Walcott, who is at the centre of a contract dispute, following his double.
"Walcott did very well," he said. "I know he is a great player and many players did well. Theo scored goals and was efficient. He wasn't the only one."
Walcott urged his Arsenal teammates to build on the victory before heading to Old Trafford.
"Hopefully we can take that into the Premier League," he said.
"We were good going forward, but maybe we were not great defensively at times. But we showed everyone what we can do and showed our character."
Reading are yet to win in the Premier League this season and this collapse will do nothing to boost their confidence ahead of Sunday's trip to bottom-placed Queens Park Rangers.
But Reading manager Brian McDermott says the result against Arsenal will have no bearing on that or any future league games.
"It was suicide, what went on in the second half and extra time," he said.
"I wasn't comfortable, even being 4-1 up, and I don't know why. I just had that feeling. They hurt us and we didn't play … But it has nothing to do with the league. You play each game on its merits. But I've never seen anything like it at Reading. It was extraordinary." – AFP