India begin their campaign in Group B against United Arab Emirates before playing hosts Sri Lanka on Sunday.
"The real challenge will be to start well," Wright told reporters in Chennai on Tuesday before the team left for Colombo.
"The first match is very important, even though on paper it's perhaps not an even contest. We have to keep in mind that the next game against Sri Lanka is critical."
Bangladesh, Hong Kong and India's traditional rivals Pakistan are in Group A. The top two teams from each group will qualify for the tournament's second phase.
India will be in action for the first time since winning both the Test and one-day series in Pakistan in March-April.
"We won the one-dayers against Pakistan 3-2, but there was not too much in it," Wright said.
"Sri Lanka are always good at home and Bangladesh can surprise anyone these days. The other two teams are unknown quantities. Overall, the opposition is very good and we can't afford to let up."
Despite their recent success, Wright said playing Pakistan would be India's toughest challenge.
"Matches between India and Pakistan almost have a character of their own because both teams want to win so badly," he said.
"Fans on both sides of the border are so eager to see their team succeed. They're like one-off games."
India and Pakistan clash again next month in the Netherlands in a triangular tournament also involving world champions Australia.
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