The ex-England international says it took place while Arsene Wenger was manager at Highbury and makes the allegations in an interview with French football magazine So Foot.
Merson, 43, who played under Wenger in 1996-97, said: "Sometimes, on the eve of big games, we would go to a Holiday Inn in Islington where a yellowy product was injected into our arm.
"I never asked myself any questions. From the moment where you trust a manager, you take everything he asks you to."
Merson admits he was not bothered as he was already a heavy drinker and drug user.
He added: "In comparison to what I had put in my system, nothing would have scared me."
Merson also revealed that every morning when the players arrived at training they were given 'an orange juice mixed with Creatine'.
Creatine is a stamina enhancer.
The ex-Arsenal and England star, 43, once swallowed a high-powered caffeine tablet ahead of a Premier League away game.
Yet Merson's real problems were always his inability to cope with life away from matchdays as his problems with drink, drugs and gambling continued, while he once butted a wall after he lost a bet.
Mers, who played more than 400 games for the Gunners, had no idea what was in a yellow fluid injected into his body before games.
But an Arsenal spokesman said: "This was a simple multi-vitamin injection."
Merson, though, was fully aware of what the tablets were being handed out by boss Arsene Wenger.
He said: "Just before kick-off for a game against Blackburn, Arsene gave us a dark tablet.
"It was pure caffeine, the equivalent of 10 cups of Starbucks. My heart started racing, 30 minutes later that was still the case.
"I had an addictive personality. Today, I've accepted it and I live with it. I try to reverse the problem.
"For example, if I eat chocolate, I know I can become addicted so I get addicted to resisting chocolate.
"It was very hard to get out of it. It's a spiral where everything is linked. I started by gambling and since I would lose, I would go into a depression.
"So then I needed to drink. And to be able to drink a lot, often and for a long time, I'd take cocaine.
"It seems unimaginable to me now. I have no idea where I got the energy from to lead such a life and to play football.
"In life I never felt anything more powerful than the explosion of joy when you've just scored a goal.
"You fly high, very high, then the match stops and you tell yourself you'll have to wait until next weekend to get the chance to relive such an emotion.
"From Monday to Friday a footballer's life is very boring. I wasn't able to stand it."
After wasting his first £100 pay cheque on gambling, Merson revealed: "I was so ashamed, I was incapable of admitting the truth to my parents.
"When I left the bookies, I headbutted a wall to damage my face, and when I got home I pretended that I had been mugged and robbed."
After life at Arsenal, Merson headed to Middlesbrough in 1997 when he would have drinking games with Paul Gascoigne.
In an interview with French magazine So Foot, Merson said: "Gazza taught me a game: You take an anxiolytic (tranquilliser), then a glass of red wine, until you drop."
But as he has often admitted, it was his problems with cocaine which would leave Merson living in fear.
He added: "Every time I heard the sound of a motor in my road, I thought a dealer was coming to do me.
"I'd spend entire days on my couch. I'd dial a phone number to place a bet, I would have a line of cocaine, then another bet, then a line, like that, non-stop, every two minutes."
Merson admits that he does still drink occasionally but avoids pubs.
He revealed: "I can have a drink at home or in a restaurant but I don't go to the pub any more. That's finished, it's too risky."
what a loser