The midfielder scored in the crucial 2-1 victory over Blackburn at the Stadium of Light.
And Vaughan revealed: "It felt different out there. The new manager has come in and given us some belief again. He wants us to go out and express ourselves and try to enjoy football."
Vaughan's return was one of the changes made by O'Neill after he took over from Steve Bruce.
And the ex-Blackpool player added: "The first impressions have been good."