Bastian Schweinsteiger has jokingly set his sights on winning the World Cup with the MLS All-Stars.

An American journalist was left red-faced when he asked Schweinsteiger if winning the World Cup was a realistic option for MLS side Chicago Fire upon the former Germany captain's unveiling in March.

Schweinsteiger was visibly confused by the question, which went viral, but the 33-year-old midfielder played along with the joke on the eve of the MLS All-Stars' clash against Spanish and European champions Real Madrid in Chicago on Wednesday.

Cheekily asked if the MLS All-Stars can win the World Cup, Schweinsteiger laughed before delivering the perfect response.

"When you have friendly matches, you want to win 100 per cent. I don't like to lose, even friendly matches," Schweinsteiger said on Tuesday.

"When you play against Real Madrid, for me and everyone in our team, you want to win against the best team in Europe.

"If we can beat them, maybe then we can also look forward to winning the World Cup."

Schweinsteiger has been in good form since arriving from Premier League giants Manchester United, scoring twice to help the Fire up to second in the Eastern Conference.