England face Denmark at Wembley on Wednesday night, looking to reach their first major final since winning the 1966 World Cup.
The Three Lions had not won a knock-out game at a European Championship in 25 years before beating Germany in the last 16 a week ago.
Now they are preparing for their second major semi-final in just three years under Southgate – with the England boss happy that his players are writing their own story.
“We don’t have as a good as football history as we like to believe sometimes,” he said on the eve of the match
“These players are making massive strides and breaking barriers all the time, we have broken barriers in this tournament and we have another opportunity to do that tomorrow.
“We’ve never been to a European Championship final so we can be the first which is really exciting for everybody.
“We respect the Danes, I’m obviously old enough to remember them winning it…so I’ve always been a fan of the players that Denmark have produced, their football is incredible.
“I think they (the England players) are just looking forward to a hugely exciting opportunity. They understand that to play in tournaments is what international football ultimately is all about.
“They know that this is a great chance to be the first team to get to a final. But they’re excited by it, I don’t think they’re inhibited by it.”
Recent history has also been “tough” for Southgate – who had to deal with coronavirus regulations, injury and suspensions during the October international break.
Denmark won 1-0 at Wembley in a Nations League game during that time, their first loss under the arch since defeat to Spain over two years earlier.
“I have to say, the autumn was a very difficult period for us,” Southgate conceded.
“So many things that we had to deal with from before we named the first squad in September, through to events that happened during the games, just before the games, lack of availability of players.
“The games against Denmark themselves were tough. We knew what their record was going into those games and we tried something with the formation of the team.
“It was a definite shift in how we were viewed. That was a very good learning process for us.
“I knew when I took the job what it was. I was under no illusions of what the job was and what it entailed.
“I just think we were in an interesting period: midway through the pandemic, no fans in the stadiums. It was a very different experience. I can’t say I enjoyed the autumn matches at all.
“I thought it was a miserable experience for players. We were fulfilling fixtures rather than looking forward to them. I think a lot of teams felt the same way.”
England have certainly recovered since then and, having reached the semi-final of either the European Championship or World Cup for just the sixth time in their history, the Three Lions will be favourites.
But – given Denmark lifted the European Championship title in 1992 and boast a better record than their semi-final opponents in the competition – Southgate feels the visitors could be under more pressure than his own side to succeed.
“We’ve had expectation during the whole tournament and I think we have dealt with that really well, in the opening game (against Croatia) for example, and in the game with Germany,” Southgate added.
“But we’ve never been to a final so the pressure is what you choose it to be really, I think it is a motivating thing, it is a challenge for us.
“If we were a country that had won five titles and had to match what had gone before I might feel differently but we are not.
“Denmark have won it so maybe there is more pressure on Denmark to replicate that – but it is not the way we are viewing the game, we know it is about performing on the day.”