The ex-West Ham United striker is known for his eccentric management style and Manchester United full-back-turned-Sky Sports pundit Neville has confessed his surprise at Sunderland's decision.
"I do not know what is going to happen," Neville told Monday Night Football "It is very un-Sunderland-like when you think of [previous managers] Peter Reid, Niall Quinn, Roy Keane, Steve Bruce and Martin O'Neill. You could argue it is very different from those appointments.
"It is a change of tact. Maybe that is something [Sunderland chairman] Ellis Short was very conscious of and wanted to do. It is a risk but life is about risks.
"We will only know in a few weeks' time. I have to say, the whole atmosphere on Saturday looked a little bit dejected. In some ways, Di Canio coming in will give Sunderland a massive lift and he did well at Swindon."
Di Canio begins his Sunderland tenure with a trip to Chelsea on Sunday.