Di Canio singled out O'Shea after the defender gave away a penalty and was sent off during the Black Cats' recent defeat at Crystal Palace in the Premier League.
"He rang me the next day and all is nice," Goal.com quotes O'Shea as saying. "Getting criticised is one of those things and that is his style of management.
"What he had to say to me is private but let me put it to you this way, it was him calling me."
Sunderland return to Premier League action on Saturday when they welcome Arsenal to the Stadium of Light.