The Brazilian winger has said the Italian faced a difficult job in taking over from Pep Guardiola, but says the transition has been "very fluid"
Ancelotti took over from Pep Guardiola, who guided the Bavarian giants to three successive Bundesliga titles, ahead of the new campaign.
Bayern have operated in a 4-3-3 formation and started the season with a bang, scoring 13 goals without reply in their first three matches.
Costa was not expecting Ancelotti's impact to be so sudden, but is enjoying the way the Italian has the team playing.
"Me personally, I was very surprised to be able to see his mark so distinctly already. I can see the differences clearly on the pitch," he told Kicker.
"We play very aggressively and we press a lot. The transition was very fluid.
"That this went so quickly and successfully is a tribute to the flexibility and the quality of the team – and the coach."
After a bright start to his career at the Allianz Arena following his move from Shakhtar Donetsk in 2015, Costa's form dipped in the second half of the season.
The Brazilian feels that is just a natural part of the game and is not overly concerned about struggling this term.
"I was weaker in the second part of the season. When the opponents learned that I was quick and looking for one-on-one situations there was suddenly more players standing in front of me and there was less space," he said.
"But it is a part of football that you can't always perform at the top level. I can think only of two players who managed to do that."