The volatile Italian, a shock replacement for sacked Martin O'Neill, was driven into the club's Academy of Light training ground shortly before 9am on Monday morning.
He is expected to meet his new squad this lunchtime, before overseeing his first training session.
Di Canio, who began his managerial career by leading Swindon to promotion from League Two before quitting in February over off-field issues, signed a two-and-a-half-year deal on Wearside just 24 hours after O'Neill was axed.
He takes over a side just a point above the drop zone following a run of eight games without a win but despite his daunting task - and lack of top-flight experience - former Swindon chairman Jeremy Wray has backed his appointment.
"He will galvanise the team. He is passionate; he eats, sleeps and drinks it," Wray, who appointed Di Canio at the County Ground, told BBC Radio.
"He is full-on 24 hours a day and will be focused on the last seven games of the season. If you are looking for a catalyst for change he is absolutely the right man.
"The Sunderland fans who are nervous now and are doubting the appointment
should have no fears and trust what I saw in him is what (Sunderland chairman) Ellis Short will have seen in him as someone who is committed to the job.
"There was no doubt that when he was at Swindon he was cutting his teeth in management, but I can assure you I think he's ready for the step up.
"He's learnt a lot, he's very intelligent, he's a quick learner and he's his own biggest critic.
"He'll have seen where he's gone wrong in the past and I think it's a really astute appointment."