Arsenal won just one of their opening four games of the season and trailed in the first legs of their quarter-finals and semi-finals in Europe but have shown character to bounce back and reach the final.
"It's been an incredible journey with a lot of ups and downs," said Scotland midfielder Little.
"Some performances haven't been as good as we want but there's also been some incredible performances.
"We have got so much belief in each other and what we can achieve. We know when we work together we can connect and have performances like in those games.
"You can't play at the top of your game every second but what makes us such a great team is those moments when you aren't, we get yourselves out."
She says it will be a "proud" moment for her in Portugal but has urged her side to "show courage" despite many pitting them as underdogs.
"We respect Barcelona as a team. We are very humble for the occasion but we are here to win," said Slegers.
"We have to find ways to win. The game will shift in momentum. It is important we deal with all those moments in the game.
"We need courage and discipline, need to be switched on and focused. If we do that really well then we can perform. We have belief in our capacity."
Image source, Getty Images
Image caption,
Aitana Bonmati and Alexia Putellas are two-time Ballon d'Or winners
Barcelona's squad remains packed with talent including two-time Ballon d'Or winners Aitana Bonmati and Alexia Putellas.
The Spanish giants have won three of the past four Champions League titles and go into Saturday's game as favourites.
"It is good that we have been given the favourites label but we know how important this is," said Bonmati.
"Although it's a new rival that has not been in the final for years, it is not an easy match. We still need to win the game and anybody can win.
"I said a few days ago it was a surprise that Arsenal beat Lyon [in the semi-finals] but they deserve to be in this final.
"They scored four goals against one of the best teams in Europe. We didn't score four goals against Lyon."
Putellas believes Barcelona's previous success has given them experience and confidence but they still have to perform against Arsenal.
"Despite having three Champions League [trophies], it doesn't mean we will win. It doesn't matter how many finals we have been in," added Putellas.
"It is true, we know what we have done, but it means nothing on your day-to-day work. You always want to go to the next level. The next goal is tomorrow's final."
The defending champions will come up against former Barcelona midfielder Mariona Caldentey for the first time.
She has had a brilliant debut season with Arsenal, winning the Women's Super League Player of the Season award and contributing heavily to their European success.
"Mariona is an excellent player and knows her position extremely well. We miss her but we are happy she is having a good season," said Bonmati.
"She is an excellent colleague - we wish her all the best but not tomorrow. Sorry about that!"
