The Northern Irishman spoke for the first time about his sacking on 30 March to BBC Radio 5 Live’s Pat Murphy.
Ex-Swindon boss Paolo Di Canio was appointed within 24 hours of O’Neill’s exit on a two-and-a-half-year contract.
“I’m still disappointed and frustrated but life goes on,” said O’Neill.
Following their 1-0 defeat by Manchester United on 30 March 2013, Sunderland fell to 16th place, just one point from the relegation zone after injuries to key players Scotland striker Steven Fletcher and captain Lee Cattermole.
Within six hours of the final whistle O’Neill was shown the exit door.
“I’m in the business now where I think very little shocks you about professional football, particularly in the last 10 years,” said the 61-year-old.
“I think you can nearly lose your job in management if your tie doesn’t fit your suit
“Coming into the football club at the time when the club was on its knees, and I believe I saved the club from relegation last year, I felt the opportunity [to stay at the club] should have still been afforded to me.”
O’Neill’s sacking made him the fifth top-flight manager to lose his job during the current campaign, after Chelsea’s Roberto Di Matteo, Mark Hughes from QPR, Nigel Adkins from Southampton and Brian McDermott from Reading.