The Italian guided Swindon to the League Two title last season but left the club earlier this year, and is now one game into his reign as Black Cats boss.
Di Canio told reporters: "Fergie was good to me when I won the title last year. He sent me a letter. Beautiful! It was signed by him.
"He said: 'I like your philosophy. Keep going, this sort of play is the future of football'. I keep it with me and put it in a frame.
"The fact that he followed the start of my career made me very proud. The letter was an inspiration."
Sunderland face off against Newcastle United later today in the Tyne-Wear derby.