The Black Cats are still joint-bottom of the Premier League after the win, but climbed above Crystal Palace on goal difference.
O'Shea is confident Sunderland can continue their improvement under manager Gus Poyet providing they keep focused.
"It's a big step and it's a nice step for us but we're under no illusions, there's still a lot of work to be done. But it's nice when you score four goals away from home," O'Shea said.
"Obviously we're 2-0 up at half-time, were a little bit disappointed with the goal we conceded but I think the reaction from the lads was great again.
"We had to survive, not really constant pressure from Fulham, but we were aware they were going to have lots of possession at times but we dealt with that quite comfortably."
O'Shea also praised England international Adam Johnson, who scored a hat-trick against Fulham, and he believes the winger could be a key player in Sunderland's attempts at avoiding the drop.
The Irishman added: "I think with Adam, the way he performed today he was pretty much untouchable. So as long as he can maintain that standard and that belief, because we know he's got the ability, so if he can maintain that it will be great for us.
"The way he attacks players, the way he glides past players, he can create free-kicks, set-pieces, so for England as well he's a special player to have but he's got to maintain that consistency.
"And I think especially with the World Cup coming up in the summer, if he can maintain that he's going to do himself the world of good."