Will Hoskins and Jo Kuffour put Rovers two-up and although Jon-Paul McGovern put Swindon back in the game with a superbly-struck 66th-minute volley, Jeff Hughes netted with a near-post header for Rovers.
Penney said: "The team haven't won for a while and the result should give them a lot more confidence. The important thing now is that they don`t believe the job is done and that the season will turn around automatically.
"There's a lot more hard work ahead. The clean sheet against Hartlepool in midweek was the club's first in 17 games and that gave us something to build on.
"I knew we had good players at the club, but they needed to perform from a more solid base and play with a bit more steel.
"We still need more new players and I'm hoping to strengthen our options in midfield and attack."