Speaking straight after the game, the former Crawley schoolboy said: "I am proud. It's an incredible occasion to be a part of. We were incredible all night. We knew it wouldn't be straight forward. We said to the players at some point we are going to have to show some resilience and come back from some set backs and we did that tonight.
"I felt we would get there. I knew we would have a different kind of battle because Denmark are s underrated as a team. They did cause us a lot of problems. But when you have waited as long as we have to get through a semi-final and when you look at some of the players who have limited international experience they have done an incredible job."
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And he was delighted to do it for the fans. He aid: "The most pleasing things is we have given our fans and our nation a fantastic night and it carries on for another four days. In terms of the team, to come through that sort of night and after we suffered in Moscow we have managed to put that right."
And when asked about whether his players will be allowed to have a small celebration, he said: "They have had it haven't they. It looked like mayhem on the pitch and I was part of it. Look, we are in the final and we have got to enjoy that fact. But there's one more massive hurdle."
On Italy, Southgate said: "They are a very good side, I have thought that for the last couple of years they have shown outstanding form. They have defensive warriers at the back. It's a great game to look forward to.
"We have had three memorable games on the trot now an we said we wanted to create memories for our nation and I and I said t the youngsters it's not normally like this. I said to Saka and Bellingham it doesn't normally work out like this.
"Finals are to be won, we have to regroup and and prepare properly."