Kevin Phillips said Sunderland can be proud of their display at Old Trafford and it wasn't a huge surprise to see them beat Manchester United.
Gus Poyet's side reached the Capital One Cup Final with a penalty-shoot-out-victory at Old Trafford and will contest their first major Wembley final, since 1992 against Manchester City, on March 2.
They looked set to go through in extra-time when Phil Bardsley scored to give Sunderland a 3-2 aggregate lead. But Javier Hernandez levelled it at the death to force penalties, only for the the Black Cats to recover from the disappointment to win the shoot-out 2-1.
And former striker Phillips says the victory was merited after their committed defending throughout both legs.
"I wouldn't say it was a huge shock," he told Sky Sports.
"As I said before the game, I believed they could come here and get a result and they go through and won in that style. It was probably one of the worst penalty shoot-outs I've seen - but that comes with pressure.
"The end of the game was pulsating with Bardsley's goal and then them going up the other end and scoring straight away; you thought it was going to be Manchester United's night.
"All credit to Sunderland. They piled on the pressure in the second half and most of extra time. Although they didn't create a lot - the only shot on target was Bardsley's goal - their commitment and defending was tremendous.
"They can be extremely proud of themselves in the changing room."
Phillips joked that Sunderland would need to "field 14 players" to beat in-form Manchester City in the final after a difficult season that has seen them in the relegation zone for long spells.
But their cup form has been excellent and after taking the scalps of Chelsea and Manchester United in the Capital One Cup, he says they can dream of lifting the trophy.
He added: "It's going to be very, very difficult on a big pitch at Wembley, on a huge occasion. The players at City have played in those occasions many times all over Europe and it will be new to a lot of the Sunderland players.
"But they have shown they have beaten Chelsea and beaten Manchester United so why can't they got to Wembley and beat Manchester City?
"Gus Poyet knows his players; every player will have to be bang on form and hopefully they will have some form going into the game from the Premier League.
"They have climbed the table a little bit, but need everything to go for them if they're going to get a result."
Phillips says the momentum built from Wednesday night's victory can be carried into next week's Premier League clash with Stoke as Poyet looks to steer the club to survival.
But after winning the League Cup and going down with Birmingham in 2011, he warned that cup runs can act as distractions as well as confidence boosts.
"I don't want to put the mockers on it, but we won it with Birmingham City and unfortunately we went on and got relegated," he said.
"They have got to take that form and be more clinical in the final third. They have got to score more goals and try and find that formula quickly because they've got some important matches coming up in the Premier League.
"Obviously this will give them huge confidence. They will enjoy their night tonight and then they will have to knuckle down with a tough game coming up at the weekend.
"It can only give you confidence to come to Old Trafford and win, although it's on penalties. Everyone will be leaving here tonight high on confidence. You just hope that they take that into their league form.
"Because we're still early in the transfer window, that could potentially attract players. I hope so. If they join the club they've got a chance to straight away go to a cup final, so it's a good position."