Kieran Trippier's early free-kick put the Three Lions in the driving seat in Moscow, but Ivan Perisic levelled midway through the second half and Mario Mandzukic's extra-time strike sent Croatia through to Sunday's final against France.
Grant Davidson said they had "brought the country together" during the run to the semi-finals, the first time England had reached the last four since losing to West Germany in 1990. But once you're here and played as well as we did, you want to take those opportunities in life.
"I have got to say the players are incredible, they are an absolute pleasure to work with", Southgate said.
"Of course it is going to be a really hard task over the next 24 hours to assess everybody and to get everybody mentally back to where we want them for a game like that".
That's proved to be the case, although they have relied on large part on grit and determination to see them through the knockout stages, beating Denmark and Russian Federation on penalties before seeing off England in extra time. "I think the public have enjoyed it", Southgate said before Saturday's third place play-off against Belgium. "We want to keep those standards right to the end".
England on the Way to Glory
England manager Gareth Southgate hopes his team can ride the momentum generated by their run to the World Cup semi-finals and follow the path Germany took to the top of worldwide football. We are in the final and that is the biggest success in Croatia history.
"We've proved to ourselves and our country that's possible".
"But for these players, many have come of age on an global stage and I couldn't be prouder with what they've done".
"They see a team that leaves everything on the pitch, which they have, and played with style".
However, fans said the side had "finished further than anyone dreamed". There's a long way for us to go. That felt so good for us here in Russian Federation, and united us more and more, just like it did in our country.
May in charge after Brexit resignations
In her reply, Mrs May told him: "I do not agree with your characterisation of the policy we agreed on at Cabinet on Friday". He stated that it's "up to the people" whether or not May stays in power after the double resignation from her cabinet.