"I thought it was very impressive. To come away in the Champions League at any stage, but especially in the quarter finals, Roma were so familiar to us as well.
"We have been keeping clean sheets all season and we just had to do that again."
But O'Shea went on to warn his United team-mates not to take their first-leg result for granted with Roma expected to come to Old Trafford and throw everything at the United defence.
O'Shea added: "The game is not over yet. Roma will be hurting having lost at home.
"They have great players to come back in as well so we have to be very focused. They have good players and they can hurt you at any moment in the game. We have to be very careful of that.
"It is all about the confidence we have in the team and the ability we have on the counter attack. We know we have been very sound and keeping clean sheets.
"The pace we have on the counter is frightening teams and that has been the difference away from home this season."