Tigers, without a win in Heineken Cup action across the Channel since beating Bourgoin away in December 2006, scored a 15-14 victory in Montpellier thanks to a last-minute converted try.
The victory keeps Tigers in second place in Pool 5, three points behind Ulster with two fixtures remaining.
“I’m delighted for the players,” said director of rugby Cockerill.
“We have not won in France for seven years and this group of players made a little bit of history for themselves.
“Any win in France is a big win. The result gives us everything to play for and also puts a spring in the squad’s step when they come back in for training and that is important.
“Tom Youngs was unbelievable, Jamie Gibson in the last four or five weeks has been outstanding, Graham Kitchener has again stepped up, and the whole squad did a great job.”
The first half finished without a point on the board before Youngs provided the breakthrough score.
Montpellier quickly responded with two tries of their own to lead 14-5 before Ryan Lamb landed a 40-metre penalty and then converted the last-gasp score from Vereniki Goneva to give Tigers the points.
“We had opportunities to score in the first half,” said Cockerill. “Miles Benjamin was a whisker away, Ben Youngs and Jamie Gibson were almost in.
“I thought we did enough to win the game but we gave them two opportunities to score and they showed how dangerous they can be there.
“At 14-5 down you’re clambering for a bonus point and the game can start to get away. But the big scrum for that penalty and then the grandstand finish puts us right back in it.
“What Leicester do well is just keep playing. Even with Toby Flood and Dan Bowden off the field they kept playing, kept recycling the ball and in the 79th minute you’ve got prop Marcos Ayerza providing a bit of quality play and Niki Goneva sharp enough to run in to score and set up an angle for the conversion.
“Now we’ve got a massive game in Treviso before we bring Ulster to Welford Road.”