The Ligue 1 leader was dealt a difficult draw against the reigning champions despite topping their group ahead of Bayern Munich as Madrid trailed Tottenham.
PSG was infamously dumped out in the round of 16 last season as it coughed up a 4-0 first-leg lead over Barcelona to lose 6-5 on aggregate.
But Neymar, who has been linked with a transfer to Los Blancos, believes his side will not fall at the same hurdle this time around.
"We know it will be a difficult game. Real Madrid's players have been playing together for many years and aspire to their third consecutive title," the Brazil star said.
"But I know we can beat them.
"We want to make history and we will do everything possible to defeat them."
First on Madrid's agenda is its clash with Barca in Sunday's El Clasico as it tries to go about reeling in an 11-point deficit.
PSG boss Unai Emery, who will be in attendance, tipped Zinedine Zidane's men to make the most of its home advantage at the Santiago Bernabeu.
"They are many points behind, but on Saturday if one team is favourite to win then it should be Real Madrid as they are at home," Emery told Marca.
"When the most important matches come along, I am convinced they will be good. Real Madrid still have a really good team."