In a thrilling Premier League encounter at the King Power Stadium, Mohamed Salah headed the Reds into the lead before Philippe Coutinho added a second with a magical free-kick.
Shinji Okazaki pulled a goal back in first-half stoppage-time, only for Jordan Henderson to make it 3-1 at the end of a counter-attack.
However, the hosts refused to give up and Jamie Vardy quickly reduced their arrears again, but the Leicester No.9 was then left frustrated when he saw his penalty brilliantly saved by Simon Mignolet.
The home side continued to throw everything at Liverpool in the search for an equaliser and Wijnaldum admitted it was a satisfying feeling to prevent the points from slipping away.
“We showed a lot of character,” he told Liverpoolfc.com.
“After the goal they scored [to make it 3-2] it gave them a little bit of confidence and it also took a little bit of confidence off us because it was really tough and they kept pushing, and we had to defend with all that we’ve got.
“I think we have played better games than we did today, but we have won the game, which is the most important thing.
“We fought until the end to win the three points and I think this is a really good win because it’s not easy to win at Leicester.”
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The Netherlands international was not surprised to see the influential Coutinho back on the scoresheet.
Liverpool’s No.10 had already created the opener for Salah before spinning an unstoppable set-piece beyond the reach of Kasper Schmeichel.
Wijnaldum said: “He was really good. I had a feeling he would score and he’s in good shape. It’s been really tough for him the last couple of weeks but he did great.”
Gini reflects on King Power victory
The midfielder also sent special praise in the direction of Mignolet, who saved Vardy’s penalty to ensure the Reds left Leicester with all three points.
“It’s his speciality, saving penalties!” he added.
“It’s always good if you have a goalkeeper who can stop penalties because he won the game for us and we are happy with that.”