The Black Cats will head into Sunday's FA Cup fourth-round clash with the 23-year-old midfielder's former club Middlesbrough having lost just two of the nine games they have played under the Ulsterman since he replaced Steve Bruce at the helm.
Teesside-born Cattermole admits he was devastated to see Bruce, who signed him for both Wigan and Sunderland, shown the door, but has been delighted with the impact O'Neill has made since.
He said: "It's the first time I have had a manager been sacked, and I was devastated for Steve and absolutely gutted for him.
"But a new voice as come in and straight away, you just want to impress and that's what you do.
"But just winning games as well, people automatically start to say you are playing better.
"We are just winning games. It is not necessarily everyone is playing better, it's winning games.
"The confidence is there and it's great. We have been flying. We have had a great start, it couldn't have gone any better under the new manager.
"We are playing well, we just need to keep our feet on the ground and keep working hard and not get too carried away."
Cattermole will do well to contain his excitement for this weekend's fixture after the draw for the fourth round pitched him into battle with the club he, his family and friends have supported all their lives.
The midfield enforcer made his name at the Riverside Stadium under then manager Steve McClaren, who handed him his full debut as a 17-year-old in the heat of a derby trip to Newcastle in January 2006.
Six years on, he will lead the Black Cats into battle with the Teessiders, but with little room for sentiment as he and his team-mates set their sights on FA Cup glory.
Asked if they could reach the latter stages of the competition, Cattermole said: "Yes, definitely, that's our aim, that's what we are in it for.
"We want to try to win every game and if we can go on a good cup run...
"The semi-finals are at Wembley, but we don't get anything unless we win it, so we just want to do the best we can.
"We need to have a good cup run. It's my third season here now and we haven't got past the first couple of rounds, so it would be nice for everyone.
"It's going to be tough for us. Boro have been doing well - I know they have had a couple of bad results in the last few weeks, but they are a good side, so we are going to have to approach it right."
Meanwhile, Sunderland have joined forces with Africa's largest independent oil company, Tullow Oil, to launch a pioneering social and business development scheme.
The Invest in Africa initiative, which was unveiled in Accra, Ghana on Tuesday, will seek to stimulate and sustain long-term economic growth across the continent and in-turn, develop the skills of the workforce, boost domestic job markets and help to build and develop local capacity.
Niall Quinn, who travelled to Ghana in his role as the club's director of international development, said: "We are genuinely excited about this ground-breaking opportunity to bring Sunderland into new territories.
"The global appeal of the Premier League is something that we can harness as a powerful tool for change through our innovative partnership with Invest in Africa.
"Africa's passion for football is both heart-warming and inspirational and as a football club with community, people and international aspirations firmly at its core, there is a natural synergy between us and this wonderful continent.
"We look forward to growing and developing the partnership in the coming months."