Di Canio has won two of his first three matches as Sunderland manager, including back-to-back victories over Newcastle United and Everton.
O'Shea has revealed that Di Canio was at pains to express his belief in the squad at the Stadium of Light from day one of his tenure.
He told the Daily Star: "He came in on the very first day and said that he took the job because he believed in us.
"He told us the quality the team had and the boys have taken that on board and believe what he's telling us. At the time, everyone was looking at our fixtures and thinking we had a difficult run-in but we had to forget about that and just listen to the manager.
"It's gone well so far although we have some really big games to come so there is still work to be done."
The Mackems are 14th after their recent revival and sit six points clear of the relegation zone.