Despite travelling to Russia with a relatively inexperienced 23-man squad, the 47-year-old steered the Three Lions to the semi-finals of the competition.
England's impressive run came to an end in a 2-1 extra-time defeat to an experienced Croatia side in Moscow, but Southgate was nonetheless pleased with how his young charges performed throughout the tournament.
"We knew the team we brought was the most inexperienced team in the competition and the only way we're going to boost that is by playing in more tournament games," Southgate told BBC Sport. "Luka Modric and Ivan Rakitic have played in big matches.
"I am immensely proud by the way the players have played and we can see by the reaction of the supporters, they felt the same.
"It was difficult to say anything that will make them feel better at his moment. They have not experienced that before playing with England and it also shows that it can be a memorable experience playing for their country."
England, who previously reached the semi-finals of the World Cup in 1990, will now play Belgium in Saturday's third-place playoff in St Petersburg.