Spanish international Kepa, who is the world’s most expensive goalkeeper following his £71m move from Athletic Bilbao in the summer of 2018, and compatriot De Gea of Manchester United have come under intense scrutiny in recent seasons for their performances.
Kepa’s position as Chelsea’s number one goalkeeper is under threat as the club have lost patience with his costly errors and are reportedly on the verge bringing in Edouard Mendy from Rennes to provide him with some much needed competition.
Likewise, De Gea has Dean Henderson, who has returned from an impressive two-season loan spell at Sheffield United, breathing down his neck for a spot in the United goalpost this season.
British boxer Joshua famously lost his heavyweight title to an unfancied Andy Ruiz in June last year but fought back to reclaim the title in a rematch six months later.
Southall has adviced Kepa and De Gea to get back to their best by using Joshua as a reference point.
"When you're an experienced goalkeeper, you have a track record that everybody judges you against," Southall told Stats Perform News.
"De Gea's suffered from that, most people do when you get to a certain age, which is weird because you've already proved you can do it.
"De Gea's proved he can be close to being the best in the world, but everybody doubts his ability, which for me doesn't make sense.
"It's like Anthony Joshua proving he's the best heavyweight in the world, because he's got the belts, and then losing one fight.
"Yes, the defeat spoils things for a bit but he won it back. I think there's a lesson in Anthony Joshua for all of those goalies – you might get a knockout blow, but you get back on your feet and you go and smash the rest of the world."
When asked for his thoughts on Kepa's predicament at Chelsea, Southall said: "Footballers are the prime ministers of the football world, aren't they? Everybody hates you or everybody loves you, depending on what you do for them.
"Like a prime minister you live and die on your decisions. Sometimes you make good ones and sometimes they're bad. The best goalkeepers make the least bad decisions.
"Kepa, he's young. It's a learning process for him, maybe this season he might do a little better. [Frank] Lampard maybe doesn't seem to rate him that much, but he's obviously got talent.