The Italian was brought in by chairman Ellis Short to replace Martin O'Neill, and the former Manchester United defender believes it's a risk, but could give the club a huge lift.
The Black Cats parted company with Martin O'Neill following their 1-0 defeat to United on Saturday, and Neville believes the appointment is odd when considering previous managers at the club, but admits a change of approach could be beneficial.
"I do not know what is going to happen," Neville told Sky Sports. "It is very un-Sunderland-like when you think of [previous managers] Peter Reid, Niall Quinn, Roy Keane, Steve Bruce and Martin O'Neill.
"You could argue it is very different from those appointments. It is a change of tack. Maybe that is something [chairman] Ellis Short was very conscious of and wanted to do. It is a risk, but life is about risks.
"We will only know in a few weeks' time. I have to say, the whole atmosphere on Saturday looked a little bit dejected. In some ways, Di Canio coming in will give Sunderland a massive lift and he did well at Swindon.
"I would never advocate a change being made. I would never sit here and think a manager who was appointed 15 or 16 months ago as a Messiah goes to becoming the villain all of a sudden and is responsible for everything.
"[O'Neill] has spent some money at the start of the season but it is no time in the job. It is no time to build what he wanted to create up there.
"Ellis Short's decision, I think, is gut instinct. Maybe he has not liked things he has seen or heard in the past weeks. But, to me, he has thought, 'I'm going for it'. And he has gone for it!"