The 24-year-old former University of Missouri athlete revealed his sexuality on Sunday.
Mrs Obama took to Twitter to call Sam "an inspiration to all of us".
The National Football League has also welcomed the defensive lineman's announcement, saying Sam has "honesty and courage".
Mrs Obama said of Sam: "We couldn't be prouder of your courage both on and off the field."
In the interview that aired on ESPN on Sunday, Sam said: "I came to tell the world I'm an openly gay man.
Sam's form in his final season as a college footballer saw him named defensive player of the year in the Southeastern Conference, widely considered the top league in college football. His university team mates, who knew he was gay, voted him their most valuable player.
"If I work hard, if I make plays - that's all that should matter."
The athlete completed his college football career in December and is expected to be drafted by an NFL franchise in May.
He is said to have revealed his sexuality to his former college teammates at the University of Missouri's Mizzou Tigers, but admitted doing so publicly was "a weight off his chest".
"I probably may be the first but I won't be the last," he added. "And I think only good things will come from this."
Former college coach Gary Pinkel supported Sam on Monday, telling US media the athlete is "a great example of just how important it is to be respectful of others".
"He's taught a lot of people here first hand that it doesn't matter what your background is, or your personal orientation, we're all on the same team and we all support each other," Mr Pinkel added.
Should Sam be drafted as expected and make an NFL roster in the 2014 season, he would become the first openly gay player to compete in any of North America's four major professional sports leagues - football, baseball, basketball and hockey.
However, Sports Illustrated quotes anonymous coaches and scouts as saying that Sam's NFL draft outlook will now be adversely affected.
"In blunt terms, they project a significant drop in Sam's draft stock, a publicity circus and an NFL locker room culture not prepared to deal with an openly gay player," says the report.
In April 2013, basketball player Jason Collins came out during the sport's off-season but was not signed for the next campaign, meaning he never competed as an openly gay player.
Sam is expected to be a mid-draft pick when the NFL's teams hold their annual draft meeting, a process where players from America's college football system are signed for professional franchises.
Former players from the league have come out since retiring, but none have done so during their careers.
In a statement, the NFL said: "Michael is a football player. Any player with ability and determination can succeed in the NFL.
"We look forward to welcoming and supporting Michael Sam in 2014."
American footballer Michael Sam, who aims to become the NFL's first openly gay player, has won praise from First Lady Michelle Obama.