The victory means that the current Spanish champions have recorded back-to-back La Liga wins over their rivals at the Bernabeu.
"We've very happy, happy for a win and for what we've achieved and proud of the work we did, the whole team," Godin told Marca.
"We've made history. We really wanted to win at the Bernabeu. We know what it is to suffer and we had to overcome difficult moments in the match. There were times in the first half they attacked effectively and with speed.
"It was hard to stop them but in the second half we've improved a lot, did it in time and with the changes we were calm on the ball and created chances."
Atletico have taken seven points from their first three league games.