Sancho scored two goals at Signal Iduna Park, becoming the youngest player to ever record 11 strikes in the Bundesliga.
The win helped Dortmund get past last weekend's disastrous 5-0 defeat to Bayern at the Allianz Arena, a result that crippled their title challenge.
But Sancho helped Dortmund go back two points clear at the top, though Bayern do have a game in hand over their rivals.
That game will come away to Fortuna Düsseldorf on Sunday, with Sancho stating he will be eagerly awaiting the match.
"We're happy to be back at the top of the table and now we've just got to wait for tomorrow's result," Sancho told bundesliga.com.
"They're both good teams and I'm definitely going to watch it. Dusseldorf are a very tough side to play against so we'll wait and see what happens."
The England international was pleased to see his side hold onto a two-goal lead on Saturday, though it was a nervy finish after Mainz grabbed an 83rd-minute goal to halve the deficit.
"The first half was very good and we got the two goals," Sancho said. "In the second half we needed to keep the same character as we did in the first.
"We need to work on that during the week in training and show better character. I felt like we were forcing the play a lot when we had the ball. In those situations we need to keep calm and relaxed.
"I don't think it's a question of maturity," he said. "It's excitement. When we get the ball we just want to score goals and make the fans proud. We need to work on that."
Dortmund are back in action next Sunday when they face Freiburg at the Schwarzwald-Stadion.