Quins upset the odds with a surprise Heineken Cup success over the four-time European champions. Two tries from Mike Brown, either side of Joe Gray's first-half effort, plus 16 points from the boot of Nick Evans, sealed a famous 31-24 win that blew Pool Six wide open.
O'Shea said: "Right now this feels like we've won a cup final, but it's a pool game and we have to make sure we keep learning."
Scrum-half Jean-Marc Doussain scored a try among his 15 points as Toulouse claimed a losing bonus point that kept them top of the group, a point ahead of Harlequins, while Gloucester are also now back in contention to qualify for the quarter-finals.
"The resolve the players showed was incredible," added O'Shea. "We have a good record away from home but we knew coming here we were going to have to ride our luck at times in the face of wave after wave of pressure.
"They missed a couple of kicks but we had the ambition to play and everyone involved with Harlequins must be very proud of the effort of the players.
"We won't stick our heads in the sand and say it was a perfect performance but these are the days that make the Heineken Cup and the games you are judged on."
Harlequins had gained a surprise 15-3 lead after just 18 minutes when Brown and Gray both crossed as a result of well-placed kicks by fly-half Evans.
Evans' opposite number Luke McAlister, however, scuffed three chances at goal before Toulouse hit back just before half-time through Yoann Maestri. Doussain took over the kicking duties and handed Toulouse a 19-15 lead with a string of penalties as Harlequins were forced to dig deep not to concede a second try.
However, Tom Williams turned over possession with a telling tackle on Vincent Clerc, from which Brown scored Harlequins' third - and decisive - try in the 62nd minute.