The former Swindon Town coach was highly criticised following his appointment due to fascist comments he had previously made, resulting in the departure of Labour politician David Miliband from the board.
Due to the negative reaction surrounding him, Di Canio believed that Black Cats owner Ellis Short would terminate his contract.
"For three days after I signed the contract, what happened?" Di Canio told the Shields Gazette. "I don't have to go through it all again, but look what happened. He might have thought, now I'll sack him straight away because he was under pressure.
"Instead he backed me 100%, 1,000%. He supported me in an incredible way. It was a strange moment, a strange situation in time those three days. I thought maybe he would call me at that time and say... But instead he rang me and backed me all the way."
A win against Aston Villa this evening will secure Sunderland three successive Premier League victories under Di Canio and all but ensure them top-flight survival.