Steven Fletcher's strike three minutes before half-time proved the difference on the south coast as the Black Cats held out for a 1-0 win in difficult conditions at St Mary's.
It was a performance that pleased O'Neill, whose side now face tough matches in quick succession against Manchester City, Tottenham and Liverpool.
"In the last three games, we've been able to win two games against sides beside us at this moment," he said, referring to the 3-0 defeat of Reading and this victory.
"It has been a tough old season right from the start and I just feel that win, obviously before Christmas and with the programme we have coming up in the next three games, is massive for us. We got a bit of confidence from that, although we have a fair few games to go.
"The game was very tight as I expected it to be. Southampton are in really good form, particularly here, and they are on a good run at the moment.
"It is hard to say but I think we got a bit of confidence from the second-half performance at Old Trafford [last weekend despite losing 3-1 to Manchester United].
"I thought we took it into the game and started brilliantly, with Stephane Sessegnon having a great shot and the goalkeeper making a great save.
"Then the game started to develop into a bit of a pattern, with attacks by Southampton and a couple of counter-attacks by ourselves, so it was important to get the first goal.
"We got it at a great time in the game and then dealt with a second-half onslaught, which was expected. Southampton tried to break us down and put a few balls into the box, but I thought we dealt with them pretty okay."
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