The former Derby striker left the Stadium of Light disappointed after Wednesday left the north east with a 1-0 defeat after a bright second-half showing.
He told Footymad: "We came here for all three points but it wasn't to be. The boys worked hard and we have to leave here on a positive, they boys dug in right until the end but now we have to use the break which we have coming up to recharge our batteries and push on.
"Being bottom does play at the back of the player's minds a little bit because nobody wants to be bottom do they? But like I said earlier, we have this break coming up earlier so we have to relax and do things the right way and I have every confidence that things will start to change for us."
Tudgay, who played more of a midfield role on Saturday, knows that Wednesday are creating chances and playing well but the club just needs a lucky break.
He added: "We are playing well at the moment and I think we are matching every team we play. They are getting chances, we are getting chances and sometimes it just comes down to individual mistakes in some cases. We are making loads of chances but just not taking them at the moment but as soon as we do that then we can start moving out of the bottom three.
"I wouldn't say that Sunderland were a better team than us on the day, they just took their chances and put the ball in the back of the net
– we score at the other end we go back home with a point but we did work hard so we can take that out of it and progress the right way."