McClean helped knock Ferguson's Posh team out of the FA Cup at London Road.
The 22-year-old won the free-kick that led to Sunderland's opener from a Sebastian Larsson dead ball before glancing home a header just before the hour to help the Wearsiders through to a fourth-round tie against local rivals Middlesbrough.
McClean has made a big impression on the left flank since Martin O'Neill took over, coming off the bench to star in the Northern Irishman's first game in charge against Blackburn before going on to become a regular in the Black Cats' starting XI.
The story could have been totally different had McClean taken up Peterborough's offer to sign him last summer, however.
Then at Derry City, the winger flew in for talks at the Cambridgeshire club but former Sunderland boss Steve Bruce swooped to snatch him from under Posh's nose and he moved to the north-east, where he has been a big success ever since.
"I know him well. We had him here. I spoke to him, met him and I thought we had the deal done, but unfortunately Sunderland came in at the last minute," Ferguson said.
"He is some player. We watched him many times in Ireland but a big club like Sunderland came in and that was his choice. I think he will go on to be a really good player. We were just a bit unfortunate not to get him."
McClean's goal was his second in six days after scoring in the Black Cats' 4-1 win over Wigan last week.
O'Neill, who has now masterminded five wins from his first seven games as Sunderland boss, has been impressed with how quickly the left-sided player has taken to top-flight football.
"He has played three on the trot now and he's been brilliant," O'Neill said.
"In my first week here he played against Manchester United in a reserve game that I thought was going to be called off because of 70mph winds.
"The conditions were dreadful but he quickly came in to the game.
"He did brilliant on the night and he showed a real aptitude for it. We took a chance with him. He had a little bit of luck when he came on against Blackburn but he electrified the place and he has continued to do that."
Peterborough, who sit six points off the play-offs in the npower Championship, rarely troubled the visitors today despite O'Neill lining up with a defensive 4-5-1 formation.
McClean rattled the bar with a blistering shot in the first half and the Posh did well to keep the game goalless before Larsson's curling free-kick evaded a sea of defenders in the box to nestle into the bottom corner just after the break.
O'Neill was delighted to be rewarded with what promises to be a fiery local derby with Boro at the Stadium of Light in three weeks' time.
"The last few supporters in the ground let out a big roar when the draw was made," O'Neill said.
"It will be one that we look forward to. It's a great tie for both sets of supporters and we are at home so we will see if we can make that count.
"The Cup is important to this club. We haven't done well in it recently but I will try and put that right."
Ferguson, meanwhile, was thoroughly disappointed with his team's abject display.
Peterborough had gone into the game on a five-match unbeaten run, but they never looked like threatening and the gulf in class between the Posh and their Barclays Premier League opponents was evident throughout.
"The players didn't do themselves justice," Ferguson said.
"When you play a Premier League team like Sunderland you need nine players playing at their maximum and we only had two today.
"We were right up against it. It was probably one of our worst performances of the season."
