The French club seeks its third Challenge Cup title, having won in 2016 and 2021.
Montpellier back-row Billy Vunipola said he faced initial skepticism from teammates after moving from Saracens.
“I had the same mindset when I joined Montpelier as I did when I joined Saracens because I had to prove myself to every single person in the changing rooms that I wasn't here for a pay cheque.”
“I wasn't here to pack up my bags and enjoy the last few years of my career,” Vunipola said.
“The only way I could prove to them that I was here for the right reasons, was to show them.”
Vunipola drew parallels to his move from Wasps to Saracens.
“I had to knuckle down and prove to them that I was there for rugby, and it's been the same here.”
The 33-year-old former England international admitted internal doubts after previous tournament defeats. “When I first came here, I wasn't where I wanted to be.
We just lost to Northampton in the semi-final. I was in and out of the team.
I didn't have a great World Cup.”
“There were those doubts in my mind, and I had to prove to myself that I can still do this.
And it was great to have a challenge where I was almost the new kid at school.”
Vunipola said winning would validate the club's coaching changes.
“Winning this weekend would validate a lot of the decisions that they made last year to employ a more localised or younger group of coaches.”
He warned against complacency, noting Montpellier's previous drop-off after success.
“After the second time, they won the Bouclier de Brennus, and then after that, they kind of fell off a cliff.”
“I think we want to win this weekend, but also we want to be more consistent moving forward, be in the top six more consistently,” Vunipola said.
“Winning a trophy can also pull you back because maybe you think you've arrived. You get comfortable.
You forget to do all the things that got you to the final.”
The match marks 27 seasons since Ulster won its sole European top-tier championship in 1999, defeating Union Sportif Colomiers 21-6.
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The Champions Cup final follows on Saturday in Bilbao.
