Dellavedova was traded to the Bucks at the end of last season, after helping the Cleveland Cavaliers secure their maiden NBA Finals championship over the Golden State Warriors, but the new challenge has him excited about the next phase of his career.
"Leaving Cleveland was tough because I had a great three years there and they gave me my first opportunity," Dellavedova told ESPN.
"Winning the title is going to give you a bond with those guys for life, and the way the city embraced me made leaving even harder.
"But I'm excited about the opportunity in Milwaukee, especially to step into a bit more of a leadership role. Obviously at Cleveland we had Kyrie [Irving] being the point guard which puts a ceiling on what you can achieve."
A significant motivator behind Dellavedova signing with the Bucks was the opportunity to work closely with head coach Jason Kidd, someone the Australian has long admired.
"To be able to learn from one of the greatest point guards of all time in Jason Kidd is going to be cool, and something I'm really excited about. I cannot wait."
After guiding the Australian Boomers to fourth at the Olympic Games in Rio de Janeiro, the Dellavedova, 25, believes his time in the green and gold will benefit his new club.
Dellavedova starred in the Olympics, particularly against Serbia in the group stage, when he dropped 23 points and dished out 13 assists. He was also prolific in their narrow loss to eventual gold medallists the United States.
"Coming back to the Boomers, I always play a different role. I have to look to be more aggressive, score and create. That always helps when you go back to your club team, wherever that is, and I'll be looking to continue that in Milwaukee."
The Bucks managed just 33 wins last season to finish bottom of the central division, but they have a host of young talent, including fellow Australian Thon Maker and 2014 No. 2 draft pick Jabari Parker, and Dellavedova insists the focus is firmly on returning to the playoffs.
"We definitely want to get into the playoffs, that's our main target," Dellavedova told ESPN.
"They made the playoffs two years ago and looked really good in the first round against Chicago. It was a bit of a down year for them last year with injuries, but the development of their young players is really exciting for the future."