The former left-back, who is an academy coach, had to take charge of the FA Cup tie against Peterborough on Thursday.
Baines and fellow club legend Seamus Coleman handled the game after Sean Dyche was sacked hours before.
Baines said: “I’m really, really proud I got to help out today and support the Football Club. I’m made up with that.
“It’s similar to what I do, but in a different context with having to take the first team. It was a hectic day, but I actually enjoyed it.
“I thought the application was brilliant. We spoke to them before the game. Losing managers and coaches isn’t what anyone wants, really. That normally means something hasn’t gone quite right. That’s never on one person. It’s on a lot of people involved in it.
“The players knew they had to show something as a response to it – and they did. They tried to play with energy and to do the right things.”