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.
On O'Neill's impact, Cattermole said: "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."
However, 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."
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.
And 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."