Di Canio was sacked last weekend by Sunderland 24 hours after the defeat to West Brom amid reports that a number of players led a revolt against the Italian complaining to the club's hierarchy about his style of management.
Black Cats skipper O'Shea has now admitted the players voiced their concerns to the club about Di Canio which in the end led to the Italian's sacking, with Kevin Ball stepping in as interim manager.
Asked if Sunderland's players felt something needed to be done about Di Canio's regime, O'Shea told the Shields Gazette: "That was obviously done. But we have to move on now.
"Because of the position we're in in the league, we can't keep going back to it.
"We've got some difficult months ahead.
"Whoever comes in, whether it's Bally (Kevin Ball) or a new manager, we've got tough times ahead.
"We have to stick together and if we keep going back to it, it'll soon be too hard to pull back from where we are."