O'Neill's bow looked to be heading for disaster with Rovers leading 1-0 at the Stadium of Light with just six minutes to play.
However, David Vaughan's 84th-minute piledriver pulled the hosts level and set the stage for Sebastian Larsson to snatch three points with an injury-time free-kick to spark a trademark celebration from the 59-year-old Ulsterman.
O'Neill said: "It was surreal, really surreal. Just to get three points on the board is immense.
"I would have given a lot for that, just to have won the game, but mainly - forget about myself - just for the players.
"Having lost the game here last time out against Wigan in the circumstances in which they did, and then to go to Wolves and miss the penalty and then lose the game...
"It's only a win, it only gives us a win. We have a million miles to go, but in terms of restoration of confidence, it was great."
Sunderland's Wearside misery - they had won only three times on their own pitch in 2011 before kick-off - seemed likely to continue with Blackburn leading through Simon Vukcevic's 17th-minute header with just six minutes remaining.
But it was then the Black Cats, who had been lethargic before the break, made their improved second-half performance count, and did so in some style.
Vaughan levelled with a sweetly-struck 30-yard drive to send a sigh of relief around the Stadium of Light, although the real drama was still to come.
Two minutes of injury-time had passed at the end of the game when Larsson curled home a free-kick off the foot of the post to snatch victory and ease the Black Cats' fears of being dragged into a relegation scrap.
O'Neill had revealed before the game he has been dreaming of winning his first match, but admitted the circumstances in which victory was delivered were more far-fetched than those of his imagination.
He said: "Even in my wildest dreams, I never thought about those. David Vaughan's equalising goal was just brilliant."
For once, the majority of a crowd of 39,863 headed home with smiles on their faces, but none of them broader than the one sported by the new manager.
O'Neill said: "If they feel half as good as I do at the minute, they will be pretty pleased.
"It's a typical Irish trait to say there will be many a dark day around the corner, but there you go. I think that was just my upbringing."
Blackburn boss Steve Kean's emotions were markedly different as the Black Cats left his team behind them inside the Barclays Premier League drop zone.
He was left to bemoan the decision for handball against Mauro Formica which led to Larsson's decisive strike, and a disallowed Scott Dann goal four minutes before the break after Samba was adjudged to have fouled keeper Keiren Westwood.
Kean, who insisted he know nothing about an impending financial crisis amid reports that the players may not be paid in February, also had to cope with the loss of Michel Salgado with suspected fractured ribs, Jason Lowe through concussion and Gael Givet with heart palpitations.
Asked about Givet, he said: "He has had it before and he was feeling as if his pulse was pounding out of his neck.
"The doctor said there was a potential that he could collapse, so we had to just get him off.
"He has had it before in the past when his heart goes out of synch and starts to fire at a different time.
"The doctor said we needed to get him off because we could have ended up with a much more serious situation."