At 38 years old Vardy is one of a clutch of veteran stars to move to Italy this summer, alongside Napoli's Kevin De Bruyne and Luka Modric, who plays for AC Milan and turned 40 on Tuesday.
Vardy has arrived at a team surprisingly level on a perfect six points at the top of Serie A with reigning champions Napoli but one likely to be fighting against relegation come the season's end, even with the backing of local billionaire steel magnate Giovanni Arvedi.
And Vardy said Wednesday he wants to bring to Cremonese the same desire and commitment that he had in 13 years at Leicester City, where he arrived from non-league Fleetwood Town in his mid-20s and in 2016 was an integral part of one of the most romantic stories in recent football history.
"Throughout my career I've been doubted. Always have, probably always will. What I've always managed to do is turn that around and prove them all wrong," Vardy told reporters in the ornate surroundings of Cremona's violin museum.
"Speaking with the manager (Davide Nicola), there was a lot of doubt in Italy about Cremonese being able to stay in the league. With how the manager is and the passion he's got and his work ethic, that's not what he wants.
"With how the lads have started, it's been unbelievable. We know it's a long season but that's the road he's wanting to go down. It's wanting to be the underdogs that are overachieving."
Vardy added: "Being able to be a part of that and prove people wrong and fight for this badge, that was definitely one of the reasons (for the move)."
The ex-England forward joined Cremonese last week on a one-year deal with an option for another season should they manage to stay in the top flight, and he was open about his intention to have a new experience in a football culture he admires.
'Football its own language'
He told the largely Italian press pack of how as a child he would watch Serie A matches on British terrestrial television, citing Alessandro Del Piero as a particular inspiration.
"The one thing that's always constant is football is its own language. You can always talk through football," said Vardy.
"So being able to train with the lads and being able to feel welcome has been a great start and definitely a great first week."
Vardy most famously won the Premier League under Claudio Ranieri but it was another Italian former Leicester manager in Enzo Maresca who convinced him to move to Cremonese.
"There's only one of those I've been speaking to for the entire summer, we still keep in touch as much as possible, which is Enzo," he said.
"I managed to have a really good chat with him once we knew it was going to be a possibility, and he did nothing but sing the praises of the club itself and the surrounding areas, Cremona as a city, everything.
"It was his advice for me to come here and that was it. I managed to sit down with my family and talk about it, it was the only one place I was going to go."
And he's keen to "show people exactly what I'm about" with Cremonese, who are at Verona on Monday, and immerse his family in a new culture.
"It's going to be an enjoyable experience, not just for myself in playing football, but for the family," he said.
"Learning new languages, getting used to what it's like living in Italy. It's one thing as a family that we're all really looking forward to."