Paolo Di Canio's side had previously enjoyed wins over Tottenham and Chiasso as well as the Danish side ahead of the new campaign and Cuellar has revealed that the Italian coach's strict approach to conditioning has been a key part of their preparations.
The 31-year-old played the entire match in Denmark and told the club's official website: "For me, I’m happy to play for 90 minutes and get the chance to play.
"Pre-season has been tough; we have done lots of work on our fitness and we have had games in Italy and Hong Kong.
"It was nice to be involved in Denmark, but overall it was good for the team to get the victory and to keep a clean sheet.
"We knew what to expect from FC Midtjylland as we’d done our homework and watched DVDs of their Superliga games.
"We went there wanting to win and get a result and we did it in good fashion by scoring a goal and keeping a clean sheet.
"It’s a great way to end pre-season, with a good result over a good team."
Sunderland finished 17th in the Premier League last season and will hope for much better this time around with Di Canio having brought nine new faces to the Stadium of Light.
They begin their league campaign at home to Fulham on August 17.