Thompson said: "I've got belief in all of the lads and know that they've got belief in each other.
"We rallied together and did the job."
David Moyes was swiftly appointed as Sam Allardyce's replacement as Sunderland manager on Saturday.
Hull are looking for a new manager following the departure of Steve Bruce.
Jose Mourinho appears set to strengthen his defensive cover with the right-back area seemingly of particular concern.