O'Neill was unceremoniously binned by the Black Cats over Easter, after just 15 months in charge.
His controversial replacement, 44-year-old Italian player-turned-manager Paolo Di Canio, has already caused a stir and prompted the resignation of Labour's David Miliband as vice-chairman of the club.
In 2005, Di Canio gave a straight-arm fascist salute to his Lazio fans following a win over rivals Roma. He also admitted in an interview to being "a fascist, but not a racist".
On Tuesday, Sunderland were keen to keep the focus on football - but questions about their new manager's views were inevitable.
Are footballing reasons enough (to employ Di Canio) when someone comes with the baggage he comes with?
Piara Powar, Football Against Racism in Europe
"I don't have to answer any more this question," Di Canio said.
"There was a very good statement from the club - very, very clear words that came out from me. I don't want to talk any more about politics for one reason, because I'm not in the House of Parliament."
But the concerns remain and Durham Miners' Association has branded Di Canio's appointment as "a betrayal and a disgrace", asking for the return of a symbolic banner kept at the Stadium of Light.
In response, the Italian simply said: "I have said many, many words in the past and people have picked the words they wanted, I can't keep going on about my life and my family.
"The people who are talking in this way, they don't understand Paolo Di Canio."
As journalists repeatedly called for clarification on his views on fascism, Di Canio dodged the issue.
"The fans have to think my life speaks for me," he said. "Call (former teammate) Trevor Sinclair, call (Charlton manager) Chris Powell, call (Di Canio's agent) Phil Spencer - he's Jewish. Call them.
"Who is Paolo Di Canio?"
The departure of Martin O'Neill has also led to a backroom clear-out at Sunderland, with first team coaches Steve Walford and Steve Guppy, fitness coach Jim Henry, and goalkeeping coach Seamus McDonagh all making their exits from the club.
Di Canio, who only started out his managerial career at Swindon Town in 2011, has brought in four members of the staff who served alongside him - first team coach Fabrizio Piccareta, fitness coach Claudio Donatelli, goalkeeping coach Domenico Doardo and physio Giulio Viscardi.
The Italian quit as Swindon boss in February, citing off-pitch issues as his reason for leaving.
It is obvious that, in the past, people have been sceptical because it was my first job at Swindon - the mad Italian, he will fight his players. But at the end, I won the league.
Paolo Di Canio
Sunderland are now hoping he is the man to keep them in the top flight, as they sit just one point out of the relegation zone.
But Di Canio admitted that, at first, even he thought his appointment was a joke.
"When I received the phone call from (Sunderland owner) Mr Short, I thought it was a joke and I was ready to say a bad word - I thought it was a friend and I would have lost my job!" Di Canio said.
"But it was a big surprise and I had the fire in my stomach. I said yes after a second and I said: 'I come by swim, no problem'."
It remains to be seen if his predecessor O'Neill will continue his managerial career at another club, or perhaps make the move to a 'pundit' role.