Little did they know it at the time, but the defeat to Leeds would be Arsenal's last in the League for over a year. 2003–04 was a record-breaking season for Arsenal, as they won the Premiership unbeaten (26 wins, 12 draws, 0 defeats), finishing a clear 11 points ahead of second-place Chelsea. They became only the second team to do so, the first having been Preston North End in 1888–89.

Their rivals for the title gained revenge in other competitions – Arsenal were defeated in the Champions League quarter-finals and FA Cup semi-finals by Chelsea and Manchester United, respectively, in successive matches. Faced with the potential collapse of their season, Arsenal recovered from being 1–0 and 2–1 behind to Liverpool in their next league match to win 4–2, thanks to a Thierry Henry hat-trick, and went on to win the league with a 2–2 draw away to Tottenham Hotspur, mimicking their success in 1971.

Arsenal were unable to retain the title in 2004–05, finishing second, 12 points behind a record-breaking Chelsea side. However, the Gunners did stretch their unbeaten run to 49 consecutive matches, an English league football record; the record was equalled with a dramatic 5–3 win over Middlesbrough (Arsenal having trailed 3–1 shortly after half-time) and then surpassed with a 3–0 win over Blackburn Rovers in August 2004, before their unbeaten season was ended with a 2–0 away defeat by Manchester United. This defeat arguably upset the team's form and they fell away from title contention before recovering with a late flourish to finish second, sealed with a 7–0 drubbing of Everton. Champions League glory eluded them again, with the club getting knocked out 3–2 on aggregate by Bayern Munich in the second round. Arsenal did not end the season empty-handed; they came away with their third FA Cup in four years, winning 5–4 on penalties after a 0–0 draw where they were outplayed by Manchester United.

Weakened by the sale of skipper Patrick Vieira to Juventus in the summer of 2005, Arsenal's 2005–06 season was comparatively disappointing domestically and the club failed to challenge for any trophies at home. In the league, their poor away form dogged them and despite recording some impressive wins at home (5–0 over Aston Villa, and 7–0 over Middlesbrough), Arsenal spent much of the latter stages of the season in fifth place or lower, and looked set to miss out on the Champions League for the first time since 1997. However, they won their last three matches of the season, culminating in a 4–2 victory over Wigan Athletic in the last ever match at Highbury; coupled with Tottenham Hotspur's loss at West Ham United the same day, this meant Arsenal pipped Spurs to fourth place and a Champions League spot.

In contrast to their domestic form, Arsenal's form in Europe in 2005–06 was much stronger; they reached the UEFA Champions League final for the first time in their history, becoming the first London club ever to do so. Arsenal finished top of their group unbeaten, above Ajax, FC Thun and Sparta Prague against whom Thierry Henry scored two goals on away to become the all time record goalscorer for Arsenal; in the knockout stages they beat Real Madrid (becoming the first British team to beat Real at the Bernabéu), Juventus and then Villarreal to reach the final, setting a competition record of ten matches without conceding a goal in the process. In the final, against Barcelona, Arsenal were reduced to ten men early on when goalkeeper Jens Lehmann was sent off for a professional foul; nevertheless they were the ones who scored first, Sol Campbell scoring with a header from a free kick in the 37th minute. Arsenal desperately defended their lead, but two late goals from Samuel Eto'o and Juliano Belletti meant Barcelona ran out 2–1 winners.

Arsenal have been highly successful in the 1990s and 2000s, but Highbury's capacity was limited to only 38,500 in the post-Taylor report era; virtually every match was sold out and the club were unable to maximise matchday revenue. With expansion of Highbury ruled impossible, in 1999, Arsenal announced plans to move down the road to Ashburton Grove; construction started in December 2002 with the demolition of buildings on the site, and in July 2006, the new Emirates Stadium opened, ready for the start of the 2006–07 season.