Ten Hag says winning trophies is a must for Man Utd
United are aiming to end a six-year wait for silverware against Newcastle, who are into the League Cup final for the first time in 47 years.
Ten Hag's men remain in the hunt for four trophies in his first season in charge.
The Red Devils saw off Barcelona in a blockbuster tie to reach the last 16 of the Europa League on Thursday, face West Ham in the FA Cup fifth round and sit third in the Premier League, eight points behind leaders Arsenal.
"(When) you're playing for Manchester United and you have to create your own legacy, therefore you have to win trophies," said Ten Hag.
"We are in good direction and Sunday we have the opportunity to win a trophy.
"But after Sunday it moves on, then we are still in three leagues (competitions) where we have still good opportunities to win something."
A sell-out crowd of 90,000 will descend on the home of English football with both sets of fans jubilant after spells of differing lengths in the doldrums.
Newcastle have not won a major trophy for 54 years, but are on the rise in their first full season under the ownership of the Saudi sovereign wealth fund.
Ten Hag admitted he has never been to Wembley before and is looking forward to the showpiece occasion.
"I never had the opportunity to have the experience to be in Wembley, only (on) television," he added. "I'm looking forward (to) a big joy."