Ruthless Southampton put the Wearsiders to the sword last weekend, consigning them to an astonishing 8-0 Premier League defeat.
Gus Poyet described the rout as the most embarrassing moment of his career and was left to reflect on a result that equalled the club's record defeat.
Sunderland's players attempted to appease fans that made the long journey south by offering to reimburse the cost of their tickets.
O'Shea was brought back down to earth with a bang by the drubbing at the hands of Ronald Koeman's side, which came only four days after he scored a dramatic late equaliser to earn the Republic of Ireland a 1-1 Euro 2016 qualifying draw in Germany.
And the Sunderland captain is eager to make amends at the Stadium of Light on Saturday.
"Three points is the biggest thing we need to give everyone - fans, ourselves and the staff," the centre-back told The Journal. "Ultimately, you have to confine that to a one-off.
"Whatever team we were playing this weekend, we need to see what we had been seeing previously - intensity in our play, putting pressure on teams and stopping them playing.
"Arsenal are a good team, they'll have spells where they're going to have the ball, but we need to put them under pressure, particularly when they've got a few injuries at the back and a midweek Champions League game.
"Let's see if we can use that to our advantage.
"In terms of how the season had been going, that result was a big disappointment for the manager.
"Obviously he's spoken to us and that will remain in-house. But hopefully there'll be a reaction on Saturday and in the games coming up."
Sunderland have won just one of their last seven games in all competitions and their last three matches against Arsenal have ended in defeat.
While Poyet was holding an inquest into his side's south-coast collapse, Arsenal moved a step closer to qualifying from UEFA Champions League Group D by securing a dramatic 2-1 win at Anderlecht.
The London club were on the brink of defeat in Belgium until late goals from Kieran Gibbs and Lukas Podolski secured all three points on manager Arsene Wenger's 65th birthday.
Arsenal will now turn their attention to improving their fortunes in the Premier League, having won just one of their previous seven top-flight fixtures.
Danny Welbeck's stoppage-time goal ensured Wenger's men salvaged a 2-2 draw with Hull City last weekend, but two wins from their first eight league matches represents a disappointing start to the campaign.
Former France defender Anthony Reveillere could make his Sunderland debut, pending international clearance, after joining the club until the end of the season this week.
Billy Jones (hamstring), Sebastian Coates (thigh), Emanuele Giaccherini (ankle) and Ricky Alvarez (knee) all remain sidelined.
Arsenal will be without England midfielder Jack Wilshere due to a one-match ban and it remains to be seen if Laurent Koscielny (Achilles) and Theo Walcott (knee) will feature.
Wojciech Szczesny is available to return after the Poland goalkeeper was suspended for the victory over Anderlecht, with Emiliano Martinez expected to drop to the bench.
Mesut Ozil (knee), Olivier Giroud (foot) and Mathieu Debuchy (ankle) are long-term absentees.
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