"I'm happy, I worked hard and I knew that the goals would come," said Ronaldo.
"I thank my teammates who really helped me and allowed me to adapt to Italian football."
Ronaldo showed his frustration, however, he kicked the post as he missed two more chances.
"This is football, the important thing is for the team to win, I was a bit tense with all the talk after my change from Real Madrid and I did not score, so there were many expectations, but I thank my teammates for supporting me throughout"
Senegalese striker Khouma Babacar scored a goal for Sassuolo in injury time when the Modena team fell in their first defeat of the season.
Juventus is the only undefeated team after Napoli inflicted the first defeat on Fiorentina on Saturday with a 1-0 victory before the Champions League trip next week to the Red Star of Belgrade.
Sassuolo is now third with seven points.
Juventus winger, Douglas Costa, was sent off late after being caught spitting on camera before Federico Di Francesco of Sassuolo, and could face a long ban.
The five-time winner of the Golden Ball, Ronaldo, was the star signing of the summer transfer period, arriving in the midst of a great ceremony and ceremony after a deal of 100 million euros ($ 117 million) from Real Madrid.
Reinforced by five-time winner Ronaldo, Juventus began its search for a first title of the Champions League since 1996 in Valencia on Wednesday.
The Turin giants also won the European title in 1985, but were runners-up twice in 2015 and 2017 under the current direction of Allegri.
"The Champions League is my favorite tournament," said Ronaldo.
"It's a very difficult group, we know we can do well and Juve should focus on being the best."
Earlier, Roma squandered a two-goal lead when the lower Chievo team snatched a 2-2 draw at the Stadio Olimpico to dent the morale before a dismal midweek trip to Champions League holders Real Madrid.
Stephan El Shaarawy and Bryan Cristante put Roma ahead, who lost to AC Milan before the international break, firmly in command at halftime.
But Chievo, defeated 6-1 by Fiorentina the last time and with fewer points after having been deducted three points by the Italian football federation for false accounting, fought in the second half.
Valter Birsa scored a goal in the 52nd minute, with Polish striker Mariusz Stepinski sealing a point for the Verona club seven minutes from time.
"This was a game we had under control, we should have closed it, this can not happen against Real," said Roma coach Eusebio Di Francesco.
"In games like this you have to score four goals, this did not happen, and it kept Chievo alive."
The Roma coach added: "We will go out to challenge Real Madrid on Wednesday, we must not lose our heads, even if these results destabilize us."
Roma are now eighth with five points in four games, seven points behind Juventus.
Inter Milan's problems were compounded by a surprise 1-0 defeat at home to Parma on Saturday before their first European game against Tottenham at San Siro.