O'Shea was handed the armband at Old Trafford in the absence of Nemanja Vidic, and the team responded by routing Schalke 4-1 on the night and 6-1 on aggregate in the European semi-final.
Antonio Valencia opened the scoring and Darron Gibson extended their lead before half-time. Anderson, who had only scored twice in his United career then grabbed a brace to complete a remarkable victory against the shell-shocked Bundesliga side.
Leading by example: O'Shea captained Manchester United in the absence of Nemanja Vidic against Schalke
O'Shea was one of eight changes to the team that lost to Arsenal with manager Sir Alex Ferguson having one eye on the crucial home league match with Chelsea on Sunday.
'I was delighted the manager named me as captain,' O'Shea said. 'It was a fantastic occasion but the most important thing was we got the performance and the win we needed.
'Some of the performances that the lads put in really showed how strong the squad is. We could have scored a few more goals but we are very happy with the end result.
On their way: Antonio Valencia (centre) celebrates the opener with Chris Smalling (left) and O'Shea
'We lacked the same intensity as we normally do against Arsenal at the weekend as the boys put in such a great performance in Schalke. The manager did take a risk but he also had faith in the squad.'
United will now face Barcelona - conquerors of Real Madrid - at Wembley on May 28, but O'Shea is refusing to look too far ahead.
Instead he is focusing on the league campaign with games to come against struggling Blackburn and Blackpool following the showdown with the reigning champions.
Double trouble: United's Brazilian midfielder Anderson (right) scores the first of his two goals against Schalke
United lost to Barcelona in the 2009 final and O' Shea said: 'We watched the game closely against Madrid. They got through it quite well but we can put it to one side.
'We have three huge games in Manchester United's history before another massive match.'
United won the European Cup for the first time at Wembley in 1968 then lifted the trophy again in 1999 and 2008 when they beat Chelsea on penalties in Moscow.
O'Shea added: 'Wembley and Manchester United has a fantastic history but fingers crossed we will have the Premiership wrapped up before then.'
Barcelona don't frighten us, insists Fergie after Schalke demolitionMan Utd 4 Schalke 1 (agg 6-1): Gibson silences critics to reward FergusonMartin Samuel: Give us an occasion that does justice to Wembley '68Barcelona v Manchester United: Head-to-head guide to the Champions League finalAll the latest Manchester United news, features and opinion
Explore more:People: Alex Ferguson, Nemanja Vidic, Antonio Valencia, John O'Shea Places: Madrid, Moscow, Barcelona, Republic of Ireland