Di Canio, who succeeded Martin O'Neill a day after Sunderland's 1-0 defeat by Manchester United, has been at the centre of a media storm this week surrounding his political views.
The Italian has moved to distance himself from talk of anything other than Sunderland's top-flight survival and is focussing on the thrill of leading his new side into battle against Chelsea.
Sunderland are currently only one point clear of the relegation zone with seven games remaining, including tough fixtures against rivals Newcastle at St James' Park, Everton at the Stadium of Light and a difficult encounter against Tottenham on the last day of the season.
However, Di Canio is relishing the challenge that lies ahead, starting this weekend against fourth-placed Chelsea.
And the Italian has happy memories of playing at Stamford Bridge - a venue where he scored a spectacular long-range volley when playing for West Ham in 2006.
"As a manager it is my first time at the top, I mean the very top level," Di Canio told safc.com.
"(We are) away from home against Chelsea, where obviously I have good memories and scored when I was a footballer.
"But I'm not a footballer now, I'm a manager and now I hope my players will score there and give us some points.
"It's fantastic. The players will be motivated on their own; they live to play on the big stage.
"Obviously we are going to give them extra motivation to try to get a very good result."
Di Canio's only other spell in management was at Swindon, who he led to promotion from npower League Two after his first season in charge, before resigning in February following off-the-pitch problems and financial difficulties at the club.
The 44-year-old is now keen to make an immediate impact in the Premier League.
He added: "Chelsea at Stamford Bridge - what can you say?
"I can't wait for it and I expect the same desire and determination from my players to make sure they do a good job.
"To go to Stamford Bridge and make a big impact - we always have to remember that the main protagonists are the players, but with my help and my staff's help we can go there and get a result.
"It's exciting. We live for it. Life is short and if you have an exciting job, you're lucky.
"I'm not worried about the big stage. We will do everything straight away to try and get a big result at Chelsea and then in the other games.
"This is a fantastic achievement for me and my staff and it is a consequence of what we have done in the past."
Di Canio has several injury worries ahead of the match and only has a threadbare squad to choose from.
Midfielder David Vaughan (groin) and defender Carlos Cuellar (ankle) are both doubts while captain Lee Cattermole (knee surgery) and striker Steven Fletcher (ankle ligaments) will both miss the rest of the season.
However there is some hope for long-term absentee Wes Brown (knee), who is continuing to train without suffering a relapse.
"We have had our injuries, and that is a disappointment. On our first day, we were only 13 players - 11 players plus two goalkeepers," Di Canio told the Peterlee Star.
"But it is not an issue - it is enough to have a starting 11, and be able to make three substitutions.
"Obviously I would like to have 22 outfield players and three keepers to choose from, but at this moment in time it is not a problem.
"We have 16 players currently, and that is enough for me to go somewhere and get a result."