Second-half goals from Jermain Defoe and Steven Fletcher saved Sunderland from embarrassment but they were beaten by half-time with Leicester rampant in a 4-2 victory.
The Foxes were 3-0 up inside the first 25 minutes as they clinically brushed aside their woeful visitors and, although the Black Cats improved after the break, boss Dick Advocaat admitted he feared for his side.
He said: "It's not only the result which scares me a little bit, but the way we played, especially in the first half. We still know what we have to do, we still have to change some things.
"The first cross was a goal, the second cross was 2-0 and for the third goal the left-back was sleeping. So then it was 3-0 and they were sharper and better.
"But hopefully we'll learn from this. And hopefully next week we can do better than today.
"You cannot only buy players for £1 million, £2m, or £3m. That was the mistake because we have a president who's doing everything he can to help us to help the team.
"Today has nothing to do with the investment we made, the players were not in the right shape.''