Late goals from Dani Carvajal and Vinicius Jr saw Real win 2-0 at Wembley against Borussia Dortmund.
Bellingham said afterwards: "They (senior teammates) always said to me to enjoy the first one, a feeling like no other when you get to the top of the mountain. Never forget your first. They have told me all week. Dortmund had the better of the game, the better chances, but if you don't kill us then we will come back.
"(Toni Kroos and Luka Modric) They were a big part of my feeling before the game to be fair. When I was alone in my room I was thinking to myself and not as confident but you come down to dinner and they are playing cards, chatting, looking relaxed. Then you start to feel relaxed and settle into it. Champions of Europe, can't get any better than that.
On the pressure to win at Madrid, he said: "The pressure is a lot, in the club there is the bubble of players and staff but outside it feels like the world is on top of you. Something happens in training and five minutes after it is in the media. But nights like this are why you want to play for this club, the pressure builds and builds but then you win and it is an amazing feeling."
On coach Ancelotti, Bellingham stated: "He has unlocked a part of my game that I didn't know I had. That is the thing about world class coaches, they make you realise how good you can be and test the limits of your potential. It is like being at school again, you learn something new every day and get better and better."