The tourists earned a 95-run victory on Monday to go 1-0 up in the five-Test series with three matches left to play.
India were ruthless with the ball on the final day, taking the six wickets that they needed to seal their first triumph at Lord's in 28 years.
"It is a very memorable Test match for all of us," Dhoni told Sky Sports News. "I feel the approach was fantastic – it wasn't like all of us got runs, but what was important was that individuals rose to the occasion.
"What cricket has shown is it is a great leveller. You have to constantly put pressure on the opposition, that's what the first session showed us."
India and England start the third Test at the Ageas Bowl on Sunday.