The Malian winger shrugged off Sheffield United midfielder Oliver Norwood, beat him with superb skill and then ran past two more defenders before slotting the ball past goalkeeper Dean Henderson at Bramall Lane.
It was Djenepo's second goal for Southampton, following another spectacular winning strike at Brighton & Hove Albion in August, and he was chosen as the Goal of the Month winner by a panel of experts combined with the public vote.
"It makes me feel happy, it gives me great pleasure to score a beautiful goal like that, it was fantastic, and it brought us three points," he said after receiving the Budweiser award.
"The most important thing was we got the three points, so I was very happy."
Djenepo, a summer signing from Standard Liege, already feels at home on the south coast of England. Now he is aiming for team honours to add to his individual prize.
"I was loved down there in Standard and I feel loved here at Southampton," Djenepo added. "That gives me the strength to work well, especially the fans. They were passionate at Standard and here it is the same thing, so it is the same family feel here.
"I've won an individual trophy, and now my dream is to win a collective trophy with Southampton."