The Brazilian represented Atletico in the 2010-11 season, but has now returned for a second spell after joining on loan from Wolfsburg at the end of last month.
The 28-year-old entered as a second-half substitute against Sociedad and scored Atletico's fourth at the Vicente Calderon.
"I prepared a lot for this moment. I left Atletico, but Atletico never left my heart," the midfielder told reporters.
"Whenever possible I saw the matches, because I have a special affection for this club. I hoped to start well, but winning as we win and scoring is wonderful, I'm very happy about that.
"It is hard to put into words the feeling I have. This leaves me very happy, I try to contribute to the field and is what I will do until the end."
Diego has 33 international caps to his name.