Nuno Espirito Santo's side have won all three of their games following the Premier League's resumption and not conceded a single goal.
The next test in the quest for more European football sees them host Arsenal on Saturday (5.30pm) and Thompson, who made 451 appearances for Wolves and scored 45 goals, said: "I'm not surprised, given how Nuno prepares the team to the very last detail and how professional they all are.
"I don't think it's a surprise for anybody, but they've had three great results – nine points.
"I'm sure Nuno will be happy with how things have gone, getting the clean sheets. But it's a trait the team have had since he's been here.
"They're well-drilled and you can see they spend a lot of time on the training ground working on their shape, with and without the ball.
"It's been absolutely unbelievable, the progress that they have made."
After beating West Ham 2-0 in their first game back, Wolves have picked up 1-0 wins over both Bournemouth and Villa.
The upcoming clash with the Gunners represents a tougher test for Nuno's charges, but Thompson said: "We all know they'll give anybody in this division a game.
"They've done the double over Manchester City this year, which just shows you the progress this team has made.
"They don't fear anybody. They stick to their game-plan against any team as they know they can score at any time.
"And this year, they've found a way to beat teams further down in the table as well. Nuno has found a way to improve everybody within the team – the way they think and how they go into games."
Thompson also thinks youngster Pedro Neto could make a big impact over the remaining six matches.
The Portuguese winger scored a stunner off the bench at West Ham, and ex-full-back Thompson added: "People will talk about the impact Adama Traore has had, but you can say that about Neto as well.
"I think Neto has been sensational when he has come on.
"Straight away, you can see the confidence in him. He was a player brought in last summer for the under-23s, so that just shows you the progress he has made in such a short time.
"He will be disappointed not to have started some of the games, and even Traore was on the bench against Villa – but they won't sulk. It just shows how much they all trust the manager."