The 23-year-old former Derry City player, who was in the League of Ireland a year ago, joined Sunderland in a £350,000 deal and has been a sensation under O'Neill since the turn of the year.
McClean told Daily Mail: "He has been tremendous to me. He presented me with my opportunity to play in the first team and I think I took full advantage of that. He's kept me on the 'straight and narrow' since then and has helped me improve as a footballer.
"I try to work hard on my game week in and week out in order to improve and I think that has worked for me. Martin O'Neill's appointment has certainly boosted my confidence levels and I can't thank the man enough."