The Benin international left the Stadium of Light on transfer deadline day to join West Brom in a club-record deal, and it took less than 20 minutes for him to find the net, before Liam Ridgewell added a second.
Morgan Amalfitano added a third late on as the hosts comfortably cruised to the points.
West Brom Boss Steve Clarke was without strikers Shane Long and Matej Vydra due to injury, but Sessegnon was able to start the game after receiving his work permit.
Meanwhile, Sunderland boss Paolo Di Canio welcomed back captain John O'Shea from suspension and handed a first start to Liverpool loanee Fabio Borini.
West Brom were almost gifted a goal inside five minutes when goalkeeper Keiren Westwood was caught outside of his own box and Nicolas Anelka went dangerously close to stealing the ball.
But it did not take the hosts long to score their first home Premier League goal of the season as, after Westwood had denied Anelka at close range, Sessegnon followed up to fire home the rebound with a thumping volley.
The 29-year-old, who scored 17 goals in 87 appearances for Sunderland, refused to celebrate the goal against his former employers.
Sunderland's best chance of the first half fell to Adam Johnson, but the winger's firm strike was deflected just wide of Boaz Myhill's post after Ridgewell had thrown his body in the way.
At the other end, Amalfitano, who provided the cross that led to the opening goal, went close with a stinging shot that was deflected over the top by Modibo Diakite in the 29th minute.
Sunderland came out fighting after the break and dominated proceedings, but other than a driven Craig Gardner free-kick that was deflected wide, the visitors failed to threaten.
Sessegnon could have grabbed his second West Brom goal just short of the hour mark after he turned Diakite in the box, but he struck a first-time volley high over the crossbar.
There were claims for handball when a shot from Sunderland substitute Jozy Altidore appeared to strike Jonas Olsson in front of goal, but referee Phil Dowd awarded a corner and not a penalty.
Anelka went close to finding the net in the 68th minute but only after his header took a deflection off Ondrej Celustka and went narrowly wide.
Steven Fletcher missed a golden chance to level for Sunderland when he volleyed over from 10 yards out, but things went from bad to worse as the Scot fell awkwardly and had to go off with a shoulder injury.
Di Canio's side were forced to play with 10 men as they had already made three substitutions and within a few minutes it was 2-0.
Amalfitano's cross found Ridgewell arriving late and the defender steered his volley in at the near post with the help of a slight deflection.
Sessegnon was given a standing ovation from both sets of supporters as he was replaced by youngster Saido Berahino in the 89th minute.
And West Brom wrapped up the three points in style as Amalfitano grabbed a deserved goal, collecting the ball on the right from Victor Anichebe and blasting into the far corner in injury time.
