Gabbiadini, who has also played for Atalanta, Bologna and Sampdoria, scored 58 club goals in 215 appearances in Italy and has six caps for the national side.
"Everyone played a very good game," he told the club's website (www.southamptonfc.com).
"My second goal was a good one because of the team's play. The build-up from my team mates was very good. It was a hard match in the beginning, but then we scored the two goals. The team then worked very hard to keep the lead."
Gabbiadini appeared to chest Ryan Bertrand's cross into the net on the half-hour mark to open the scoring at Sunderland's Stadium of Light and he added another 15 minutes later with a smart turn and shot.
He said his second goal had given his side the platform to go on and win the match.
"The second goal gave the whole team lots of confidence in the dressing room at halftime, and that was very important," he added. "In the second half we could have scored more. It was a very important victory for the team."
Defender Jack Stephens said the decision to sign Gabbiadini was already paying off.
"It’s been a great start for him and hopefully he will carry on that form,” said Stephens. "You can’t argue with what he has done so far.
"The second goal came at a really good time, just before the break. I would imagine it really put Sunderland on the back foot. The timing more than anything was important, but it was a fantastic goal."
The win moved 11th-placed Southampton onto 30 points from 25 matches in the Premier League, while Sunderland prop up the table on 19 points.
Southampton's next fixture sees them face Manchester United in the League Cup final at Wembley Stadium on Feb. 26.
(Reporting by Shravanth Vijayakumar in Bengaluru; Editing by Peter Rutherford)
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