Di Canio's appointment at the Stadium of Light arrived under a wave of publicity, with the Italian's alleged political beliefs examined extensively.
The 44-year-old has declared that his two daughters were both targeted in the last few weeks and had to contend with verbal threats.
He told The Telegraph: "I was sad for the club, and obviously for my family, especially for my daughters. The oldest one goes to Southampton University and people were knocking on her door. I don't know how they found out where she lived.
"My little one, who is 15, goes to a British school in Rome, in the school someone... [said something to her]. It is for them that I feel sad. I couldn't understand how it caused a problem for them."
Di Canio got his first win as Sunderland manager this afternoon with an impressive 3-0 victory over Newcastle United at St James' Park.