Stuttgart, surprise runners-up last season, delivered a spectacular display to hand Dortmund their first league defeat of the season.
"When you beat Dortmund 5-1 at home after a performance like that, there’s nothing better really," said Undav, who has scored five goals in all competitions this season.
"I’m very happy and proud of the team.
"We just need to keep going now and play with the same sharpness against Wolfsburg."
Stuttgart head coach Sebastian Hoeness said his side had been completely focused.
"We wanted to be sharp and alert going into the game," he added. "We managed to do that and it laid the foundation for an outstanding performance.
"The win was thoroughly deserved ... great credit to the whole team."
After taking only one point from their first two league games of the season, Stuttgart have now won two in a row and have climbed to seventh spot. They visit 13th-placed Wolfsburg on Saturday.