Ultimately the Three Lions did not have a trophy to show for it, beaten 3-2 by Italy on penalties after a 1-1 draw, but just to be in the final was one of a number of firsts for the national team.
"They've made history several times during the tournament," pointed out former Middlesbrough manager Southgate. "They played so well in the first half of a final when the expectation was so high but in the end we haven't been able to keep the ball well enough in the second half of normal time especially.
"The time to analyse that in depth is not at this moment, really.
"Tonight my pride in what the players have done is immense.
"The players have given everything they could have not only tonight but through the whole tournament and they should hold their heads high.
"Tonight the devastation of coming so close and not giving our country what we wanted to is difficult to put into words at the moment.
"The players have given absolutely everything, I'm really proud of them."
Southgate knows all too well what it is like to miss a high-profile penalty having seen the decisive kick in the Euro 96 semi-final against Germany saved, and was quick to throw his support behind Marcus Rashford who hit the post, and Bukayo Saka and Jadon Sancho, whose efforts were saved.
"What they have to know is none of them are on their own," he stressed. "We win and lose as a team.
"The penalty-takers are my decision.
"It's going to be heartbreaking for the boys but they're not to blame for that."
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