The Black Cats host Mauricio Pochettino's team on May 12 and the Italian believes that the importance of it to him and his team is similar to that of the European Cup final, as he looks to keep his side in the Premier League.
"Southampton at home is a Champions League final for us. The home game is crucial for our destiny," The Mirror quotes Di Canio as saying.
"We have to do everything to win it. I presume we are going to stay up if we win. I would sign up now to win one of the last two games."
Sunderland drew with Stoke City 1-1 on Monday night.