The centre-half was close to agreeing a switch to Newcastle United last month before Steve Bruce lured him to the Stadium of Light with the guarantee of playing topflight football this season.
Kilgallon, who also had an option to join Everton this summer, acknowledges that unless Sunderland can arrest their slide towards the bottom three he could regret his choice.
His defensive partnership with Michael Turner has contributed to the Wearsiders remaining unbeaten in their last three outings but he is yet to taste victory since completing a move from Sheffield United for a fee understood to be around £2m.
He faces one of the sternest tests of his career on Saturday against Arsene Wenger's outfit who evoke painful memories for the 26-year-old.
Kilgallon was in the Blades' defence that shipped six goals without reply when an Arsenal side packed with youth teamers eased to League Cup third round victory last season.
The chance to avenge that defeat and secure his club's status in the top flight adds to the daunting challenge facing him this weekend.
It was games like going to Arsenal that persuaded me to come to Sunderland, Kilgallon said. You've got to think about playing in these big games at these big stadiums.
Plus you don't know what's going to happen in football.
If the time is right for you to go in football, the time is right and it's best you leave rather than over-stay your welcome.
You never know what is going to happen and if I'm honest my heart was set on moving in January. That was what I wanted to do and I'm delighted to be here, he insisted.
Newcastle was an option - definitely. They're a big club and they were interested in me from a very early point.
Every time a transfer window came up in the last couple of years they always tried to get me so that did come into my thinking. If someone wants you that much it's a big option for you to go there but Sunderland is a massive club as well and with them being in the Premier League it's an extra thing that made me go that way.
The chance to play Premier League football made my decision. Then when you come to the ground, see the training facilities and the lads I knew it was right when I came. Having moved for Premier League football it's hugely important now for me to stay in the division with Sunderland.
Kilgallon regarded the opportunity to learn from one of the best defenders of his generation as being another compelling reason to agree a switch to Wearside.
Of course it helps to be playing under a manager who was a top defender in his day. I'm sure he can help me to become a better player. He has been there, seen it and done it he was a class defender and hopefully a bit of that will rub off on me.
We know we're in a fight.
There's no doubt about that no one is saying that we're not. But when you look around the dressing room you think to yourself We shouldn't be down here'. But we've got to do it on the pitch.
Anton Ferdinand's return to the squad offers Bruce an alternative should Kilgallon fail to impress.