Liverpool spent £41million to sign Jota from Wolves in September 2020 and he has provided stiff competition for Roberto Firmino.
The Portugal international took his tally for the Reds to 27 in 57 appearances with a double in the EFL Cup semi-final second leg against the Gunners on Thursday, clinching a 2-0 aggregate win that set up a meeting with Chelsea at Wembley in February.
Despite only playing two games for Liverpool at Emirates Stadium he is already the club's top scorer at the ground with four goals, while he has five in his past four appearances against Arsenal in all competitions.
Jota stepped up to play a decisive role with Sadio Mane and Mohamed Salah away on international duty at the Africa Cup of Nations, but it came as no surprise for Klopp.
"The mood in the dressing room is that we are over the moon. It was a difficult game, difficult time in general … but what the boys did tonight against this really strong Arsenal side was absolutely exceptional," Klopp told Sky Sports.
"First half, Arsenal were pretty lively, then we calmed it down, played good football and created not plenty but quality efforts were not so easy. The second half was pretty similar.
"We scored two wonderful goals, I have to say. Wow, Diogo Jota on fire. But the passes were – on the first goal it was super play and the second one, I don't think a lot of people in the stadium saw Diogo in that position but Trent saw it, which was helpful. Then he finished it off. Absolutely outstanding.
"We were completely convinced when he arrived at the club that he would help us massively. Nowadays you can watch 100 games if you want [before signing a player], so we were really comfortable.
"Since he is here, he has made another step. It's helpful. He has just turned into a really world-class striker."
Arsenal hit the bar through Alexandre Lacazette in the opening period and the France international missed a great chance to work Caoimhin Kelleher early in the second half.
The Gunners' were left with a bitter taste when Thomas Partey picked up two bookings in three minutes after returning from AFCON duty earlier in the day.
Arsenal have had a player sent off in three of their past four games – none of which have ended in victory – and have received a total of 14 red cards in all competitions since Mikel Arteta took over in December 2019. No other Premier League side has received more than eight.
"We are really disappointed but we played against a top side. We had big moments in both halves and we have to score," said Arteta.
"We had chances and were pushing for the game but we have to convert if we were to beat a team like Liverpool.
"I have no regrets [about sending Partey on]. I cannot use him now, so it is what it is. He made the effort to come ... we had to make a decision and we decided to use him and unfortunately that happened.
"We have played the last three games with 10 men and at this level it is extremely difficult to win like that. I am proud of the boys and how committed they were without any training sessions."