By virtue of the club's league position the season before and success in the DFB Pokal, Wolfsburg took part in the 2015 DFL-Supercup and the 2015–16 UEFA Champions League campaign. On 1 August 2015, Arnold started and played the whole match as Wolfsburg beat Bayern Munich on penalties to claim the Supercup title. He then made his Champions League debut on 15 September 2015, coming as a substitute for André Schürrle in a 1–0 win over CSKA Moscow. He scored his first goal in the competition in April the following year, netting Wolfsburg's second in a 2–0 home win over Real Madrid in the quarter-finals. Wolfsburg failed to progress, however, as a hat-trick from Madrid's Cristiano Ronaldo in the second leg saw the club eliminated from the competition. Arnold ultimately scored four goals in 43 appearances across all competitions as Wolfsburg ended the league campaign in eighth position.