Early goals from Raul Jimenez and Romain Saiss saw them run out 2-0 winners at Bramall Lane.
The victory arrived hot on the heels of Nuno signing a new three-year contract with the club, and the proud boss said: "It was a tough game. We knew that.
"It was always the question: how is the response going to be?
"We know it was a quick turnaround without friendly matches, players on national teams.
"The players were amazing in the way they worked. They prepared themselves very well. I think we were effective when we arrived in the box.
"We stayed organised and really worked hard in defence to keep the clean sheet."
Nuno only had all his players in for training for a few days before this clash with the Blades due to several going away on international duty.
A tentative start would have been understandable, but Jimenez smashed the ball past Aaron Ramsdale just three minutes in.
Star of the show Saiss then came up with a bullet header to make it 2-0 in the sixth minute.
The second half saw Wolves under pressure, with Saiss clearing an Oli McBurnie header off the line, but it was a deserved three points.
"We started aggressively. We really went for the game in those moments. We were effective and made a difference," said Nuno, who is now preparing the players for Thursday's Carabao Cup game against Stoke at Molineux.
"We have a lot of things to improve. We had an idea for this match and we have an idea for the team.
"Everybody must be proud and happy. The game was on TV, I hope the fans enjoyed it. Both teams went for it.
"I cannot say enough about Sheffield United, the way they press and push you into your own box. Getting better and growing is the aim."
Three players made their league bows for Wolves in South Yorkshire, with new signing Fernando Marcal playing the full 90 minutes at left-wing-back.
Fellow fresh face Vitinha came off the bench, while Oskar Buur also made his first Premier League appearance as a substitute.
Marcal - brought in from French side Olympique Lyonnais, having helped them to the semi-finals of the Champions League - was solid throughout.
And Nuno added: "Marcal is an experienced player. He integrated very well.
"He was already competing so this gave him the edge in this match. I’m really pleased."