The Three Lions have for the first time in 55 years reached men's major tournament final following a 2-1 victory over Denmark at Wembley.
Denmark's youngster Mikkel Damsgaard drew first blood in the 30th minute from a free kick before Raheem Sterling forced Danish captain Simon Kjaer into an own-goal.
Harry Kane sent England to the final in extra time by slotting home the rebound after his penalty was saved.
Following a qualification to the final, Southgate who couldn't hide his emotions stressed a time like this is 'so pleased for our country'
"We've managed to put that right," Southgate told ITV.
"I'm so proud of the players. It's an incredible occasion to be a part of. We knew it wouldn't be straightforward.
"When you've waited as long as we have to get through a semi-final, the players - considering the limited international experience some of them have - have done an incredible job.
"The most pleasing thing is we've given the fans and nation a fantastic night and the journey carries on for another four days," said Southgate.
"We've got to enjoy the fact we're in the final but there's one more massive hurdle to conquer."
Italy under Roberto Mancini are difficult to deal with and Southgate believes his side have a huge task ahead going into the final.
"We know the size of the task, we know they have those two warriors at the back who have seen all this before," he said.
"But what a brilliant moment for us. Let's savour tonight then we can think about that on the coach back."
Southgate, after receiving a lot of criticisms from some section of the England fans is now the talk of town, having guaranteed a first European final for the side.
