The on-loan Manchester City defender knows Januzaj from their time together with Belgium's various youth teams.
Denayer told the Sunderland Echo: “Deadline day was a little bit stressful, because in the last hour you are waiting and don't know if it will happen.
“When it happened, I was really relaxed and pleased.
“I know Adnan very well, since we were eight or nine I have known him. It is good for me because he can help me a lot.
“Everybody is really good, everybody has made me feel welcome and I am quite relaxed and feeling good in the group."