Di Canio's first game in charge ended in a 2-1 defeat at Chelsea on Sunday to keep them in a relegation scrap, but O'Shea insists there is a good feeling in the Sunderland camp following the arrival of Di Canio.
The Italian has brought in fresh ideas after replacing Martin O'Neill at the helm, taking a hands-on role in training.
And O'Shea says the players are quickly gaining an understanding of what Di Canio expects from them for the remainder of the season.
"Managers have their own styles," said O'Shea in the Daily Mail. "It's a new approach and one that the players are really enjoying.
"He does quite a bit more with the shape of the team than we've done previously and that's an individual style. Managers all have their own style and he's quite hands-on in terms of showing the players where he wants them to be, the movement he wants them to make and the options we could have.
"The manager beforehand was letting things happen naturally whereas now it's more in certain positions you know what you have to do.
"It has been a strange week but positive too. A new manager, as I've experienced, always has a positive effect, with the new ideas and training, the intensity early on in the week then the wind-down just before games.
"We've had a chance to build up before the big game with more time and a chance to get an understanding of what the manager wants from us."