Carlos Carvalhal said his team were always confident of winning the game despite going down 1-0 to ten-man Blackburn in the Owls’ 2-1 victory on Tuesday night.
Craig Conway headed the away side in front early in the second half but was later sent off for a challenge on Alex Lopez.
Wednesday equalised when a Ross Wallace cross was heavily deflected in off Rovers defender Adam Henley.
The winning goal came 11 minutes later when Fernando Forestieri crossed for Wallace, who tucked away to seal victory.
Carvalhal said: “We knew this would be a tough game because Blackburn don’t concede a lot of goals.
“We went down 1-0 early in the second half but this is not unusual for us, it has happened a few times at Hillsborough.
“Even though this happened we were confident we could change things, and after the red card, we wanted to put Blackburn under more pressure.
“We know we can score goals and create chances, so I was very happy with the team that we could keep going and win the game.”