He said he was convinced that win or lose on Wednesday, his team had a bright future after decades of English under-achievement on the global stage.
England will contest their first FIFA World Cup semi-final for 28 years on Wednesday when they take on Croatia at the Luzhniki Stadium in Moscow.
The players wore their identification round their neck and black training tops in the Russian rain, as they headed out of their hotel before the game.
"We can feel the energy and the support from home and it´s a very special feeling and a privilege for us", Southgate said on Tuesday. "We're really proud in the style that we've played, with the intelligence that we've played, and that we've performed under pressure and dealt with hard situations in games where we've had to wait until the last minute to score, we've had to recover from conceding in last minute, we've been through extra time, penalties".More news: Cardi B countersuing her ex-manager for $15M
England won both previous encounters with Croatia, beating them 4-1 in Zagreb and 5-1 in London as part of the qualification for the 2010 World Cup.
Croatia are wary of the threat posed by England captain Harry Kane, who is the tournament´s leading scorer with six goals so far.
"In the first period of extra-time, I felt real fatigue in my knee".
While Croatia possess arguably the best central midfield pairing in the tournament in Real Madrid's Luka Modric and Barcelona's Ivan Rakitic, Southgate's language does not indicate he is about to bring in Eric Dier as an additional defensive midfielder alongside Jordan Henderson.
"We have strength and we're united on the pitch. We´ll repeat that this Sunday", said one supporter, Sebastien, as the crowd chanted: "We´re in the final!"More news: Turkey's Erdogan sworn in with new powers, names son-in-law finance minister
Modric said: "We expect a very hard, tight and demanding match against England".
Russia's Ministry of Communications said the number of applications by Britons for World Cup fan identity documents increased by over 29 percent, or by 6,300 applications, since July 7.
England has shown that fielding a team young enough to forget the mistakes of the past can be incredibly useful in building confidence - especially when that team is led by a former player from those years of mediocrity.
England has looked strong at set pieces - eight of their 11 goals have come from set plays, including three penalties - and will have noticed that Croatia conceded from a free-kick in extra-time against Russian Federation.More news: #WorldCup - Croatia vs England preview