Thursday's match at Wembley will be England's 1000th fixture and could see the Three Lions seal their place at next summer's tournament.
Raheem Sterling was part of the training session despite being sidelined for the game as a disciplinary measure following an altercation with team-mate Joe Gomez - who was also present.
Fabian Delph withdrew from the squad through injury on Monday night, joining fellow midfielder Ross Barkley and goalkeeper Tom Heaton in being forced to return to their respective clubs.
Jordan Henderson trained with the rest of the group for the first time having joined them at St George's Park on Tuesday, while fellow midfielder Declan Rice was able to take part after illness saw him miss out on the first full day of work.
Southgate's selection dilemma ahead of the visit of Group A rivals Montenegro is who will replace Sterling now the Manchester City forward has been effectively banned from the game.
Marcus Rashford is likely to come in but winger Callum Hudson-Odoi is another possibility with the 19-year-old impressing for Chelsea since returning from injury.
Tyrone Mings made his debut in the last game, a resounding 6-0 win in Bulgaria in a match marred by racist abuse of the Aston Villa defender and several of his team-mates.
But he could lose his place alongside Harry Maguire as John Stones is back in the squad this time around, while it remains to be seen if Leicester playmaker James Maddison will be handed his debut.
Maddison dropped out of the last squad through illness only to be photographed visiting a casino afterwards but Southgate has kept his faith in the 22-year-old who is still waiting to make his senior England bow.