Miliband, whose brother Ed is Labour Party leader, quit as vice-chairman and non-executive director, citing Di Canio's "past political statements".
Miliband said: "I wish Sunderland AFC all success in the future. It is a great institution that does a huge amount for the North East and I wish the team very well over the next vital seven games.
"However, in the light of the new manager's past political statements, I think it right to step down."
Di Canio has admitted to having fascist leanings, telling Italian news agency ANSA in 2005: "I am a fascist, not a racist."
Miliband - a former Foreign Secretary - confirmed last week that he is quitting British politics to take up a new job with a US charity in New York.
He had stated that he intended to stay on the Sunderland board despite his move abroad - but Di Canio's appointment has led to a change of heart.