Keen's side beat play-off chasing Bradford 2-1 for a first league win since his December appointment.
"It's a long-overdue win. I kept saying that performances had been good and tonight the result went with the performance," Keen told BBC Essex.
"It makes it even better the fact we went 1-0 down and the lads showed a lot of resolve and a lot of pride."
He added: "You go out there and you try to do your best for the team and the manager - and I've got nothing but praise for all of them tonight, they were absolutely magnificent."
Colchester's win comes after a run of games which included going 2-0 ahead against Bury, only to lose 5-2 after having Tom Eastman sent off, and a 0-0 draw against Shrewsbury on Saturday.
On Tuesday, Keen's side went behind to Wes Thomas' effort, before Darren Ambrose's double gave Colchester their first league win since a 2-1 victory over Port Vale on 20 October, who are their next opponents.
And Keen reserved praise for on-loan West Ham centre-back Leo Chambers, who has played in the club's last two matches.
"There's more than one way to skin a cat. Leo's come into the team, he's not the biggest centre-back by any stretch of the imagination, but we've got someone who's very intelligent, clever and reads the game very well," Keen added.
"Is it a surprise our first clean sheet on Saturday and our first win comes with a lad who brings something different?"
Colchester ending a 19-game League One winless run was "long-overdue" given recent displays, says boss Kevin Keen.