The Republic of Ireland international conceded a penalty and was shown a red card in the 3-1 loss at Crystal Palace last month, with his boss describing his actions as "terrible".
Di Canio's decision to name and shame his skipper in the immediate aftermath of the defeat led to reports that all was not well at the Stadium of Light, but O'Shea revealed that the manager his since apologised.
"He rang me the next day and is all nice," O'Shea said, in quotes reported by The Daily Star. "Getting criticised is one of those things and that is his style of management.
"What he had to say to me is private but let me put it to you this way, it was him calling me.
"The criticism does not bother me in the slightest. It is water off a duck's back to someone like me.
"Because he is such a passionate man, everything he does is getting hyped up.
"The only thing I am annoyed about is the fact that I let the team down."
Sunderland have taken just one point from their opening three Premier League games and sit 19th in the table.
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