Martinez joined the Bavarian giants from Athletic Bilbao in the summer for €40m (£32m).
"Bastian is a superb guy, he helps me a lot and even speaks a bit of Spanish with me," Martinez told Bild.
"He explains the exercises we do in training, which I don't yet understand in German. We understand each other really well in the training games and he's helping to make it fun here.
"He's not the only one, the others are all making it very easy for me to feel at home."
Bayern have won both games in the Bundesliga so far this season.