The Italian signed a two-and-a-half-year deal with the Black Cats on Sunday night, replacing the sacked Martin O'Neill, but former Manchester United skipper Neville feels it is an out of character choice.
"I do not know what is going to happen," Neville said on Sky Sports Monday Night Football.
"It is a change of tact. 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."