The Mali international beat off his markers before slotting the ball past goalkeeper Dean Henderson to help his side to a 1-0 win at Bramall Lane.
The effort was the second from the forward after opening his goal account in their 2-0 win against Brighton & Hove Albion in August.
"It makes me feel happy, it gives me great pleasure to score a beautiful goal like that, it was fantastic, and it brought us three points," Djenepo told Premier League website.
"The most important thing was we got the three points, so I was very happy."
Djenepo, who joined the Saints from Belgian side Standard Liege in the summer, is hoping to win a trophy with the St Mary's Stadium outfit.
"I was loved down there in Standard and I feel loved here at Southampton,” he continued.
"That gives me the strength to work well, especially the fans. They were passionate at Standard and here it is the same thing, so it is the same family feel here.
"I've won an individual trophy, and now my dream is to win a collective trophy with Southampton."
The 21-year-old winger is currently on the sidelines recovering from an injury in his upper leg.