The Latics secured a Cup final showdown with Manchester City on 11 May courtesy of a 2-0 semi-final win over Millwall at Wembley on Saturday.
But Martinez's side are three points from safety in 18th place in the Premier League, albeit with two games in hand on their relegation rivals.
With a league game at their Cup final opponents City on Wednesday, the Spaniard is determined not to allow his players to become distracted from the task at hand.
"We've got such an important game on Wednesday that there was no time to celebrate (the semi-final win)," said Martinez. "When the time comes to pick the competition up again - when the FA Cup final is in front of us - then we'll be able to get into that mood again but I thought that we switched straight back into normality on Sunday.
"We had a good day's work and now we're just focusing on what we've got in front of us which is of major, major importance - and that's the way we want it.
"When you're at this stage of the season and you're still involved in two competitions and every game has an incredible meaning, it gives you that sense of focus and that's what I've seen at the training ground."
Martinez believes his players have the mental strength to cope with the pressures of the relegation battle, citing Saturday's display as evidence.
"The players have been able to enjoy their football - the way we played in the semi-final was 'ourselves' - which impressed me a lot because we've never been to Wembley in this competition so it was a real test to see if we could be 'ourselves'," he added.
"I thought the players looked very relaxed, very mature and played in the manner that they normally play every game and I think that speaks volumes about the mentality of this group of players."