The Republic of Ireland international completed a deal in excess of £1million when he moved to the Latics on Thursday.
McClean is in contention to face Manchester United in Sunday's Community Shield at Wembley, having opted to drop into the Championship after discovering he had little future on Wearside under Paolo Di Canio.
"He took a drop in salary to come, such was his desire to play football," said Coyle.
"That was fantastic to see in a young man.
"All too often in football, finance is the motivation for some players.
"It is great to have someone at your football club who is prepared to take a step back because he believes it will eventually lead to making two forward."
McClean does not arrive at the DW Stadium with an unblemished record though.
Born in Derry and raised on the Creggan estate on which six people were killed by the British military during Bloody Sunday in 1972, McClean attracted a storm of criticism for refusing to wear a poppy on his shirt during last season's annual Remembrance weekend commemorations.
In addition, McClean condemned Republic of Ireland boss Giovanni Trapattoni on Twitter, leading to a rebuke from the Italian, whilst he was also reprimanded for his behaviour by former Sunderland boss Martin O'Neill on more than one occasion.
McClean has since insisted he has learned his lessons.
"We have all done silly things as young men," said Coyle.
"The bottom line is, having had a chat with him, I know he is focused and just wants to concentrate on his football.
"If we get James McClean doing that, there is no doubt he is a huge talent.
"He took the Premier League by storm with his wing play; not only his quality on the ball but how hard he works off the ball for his team.
"He is a Republic of Ireland international. He has won 14 caps at a young age. There is no doubt he can go from strength to strength."