The game was settled by a first-half finish from Steven Fletcher, and means the Black Cats go into Christmas just six points off eighth place after just their second away league win since February.
O'Neill spoke of his happiness at seeing out the game during the second half to take home three valuable points.
"It was a big performance from us," O'Neill said. "The goal came at an important time, but it was backs to the wall at the end as Southampton put us under a lot of pressure.
"We saw it through, it was a difficult afternoon for us but we got the win and I am thrilled."
O'Neill also revealed that the injury sustained by Adam Johnson was hopefully not too serious.
"He (Johnson) has taken a couple of knocks and bruises in recent weeks," he added.
"He limped up towards me and it didn't look inviting so I made the change, but we're hopeful that it isn't too serious."