On Wednesday evening the 29-year-old playmaker netted a 76th-minute free-kick to seal a 2-0 victory against Guingamp in Ligue 1.
Payet returned to Marseille in a £25million move at the end of January after becoming unhappy at West Ham and refusing to play for the Premier League club as he tried to force through a transfer.
Payet, who played for the first 80 minutes on Wednesday, told L'Equipe: "It feels good to regain the sensations, to play football again, and to win.
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"I wanted to find sensations quickly, in the last pass or the finish, I tried a lot with more or less success.
"I am free to have scored, it frees me because when you are transferred, it is better to be decisive quickly.
"It makes it possible to perform serenely. The more the match progressed, the better I was.
"It was good to start a game to see where I was and it augers well. It is not the best of my free-kicks, the ball is deflected but it enters, we will hold that."
Memphis Depay, another player to move from the Premier League to Ligue 1 in the January transfer window, also scored a first goal for his new club as Lyon thumped Nancy 4-0.
The Dutch forward, having come on late in the first half, won the penalty that led to Lyon's third goal and soon afterwards netted himself in the 58th minute.
On Thursday Depay, who left Manchester United last month for a transfer fee that could rise to £21.7million, tweeted: "Good win, great team effort, happy with my first goal for @OL!"
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