Welbeck struck in the first-leg of their Champions League tie, which will be decided tomorrow night at Old Trafford.
"It was a great feeling to get a goal at the Bernabeu," said Welbeck.
"The whole occasion was immense, with the number of fans who travelled over and with it being such a big game.
"There was a little part of me thinking I have come a long way in a short space of time. But it is something I strived for since I was a little kid.
"I really wanted to play for Manchester United and that was one of the biggest games, so part of me did feel proud.
"But it also gave me the motivation to carry on and try to strive for more."