Dalot insists Man Utd are not afraid of Man City's dominance
Local rivals City and United have had contrasting seasons, with City being crowned Premier League champions for the fourth time in a row and United ending their campaign in eighth place, their worst-ever finish of the Premier League era.
"City dominated so much the last few years, they created this fear factor," Dalot told the Mirror in an interview published on Thursday.
"But when you're playing United against City, I don't believe they come in with the idea that we fear them. They know that we're going to want to win that game, so they're going to be at their best level - and we have to be at our best level."
United have one victory in their last five FA Cup final appearances, a 2-1 win over Crystal Palace in extra time in 2016. They were beaten 2-1 by City in last year's final.
Asked about City being the favourites in the final, Dalot said: "For me personally, it gives me more energy. You shouldn't be the underdog when you're at Manchester United.
"We want to be the team in the future that everyone thinks is going to win automatically."