Captain Harry Kane and Manchester United skipper Harry Maguire both scored to give England the early advantage after 120 minutes of action finished all square.
But United forward Marcus Rashford, imminent Reds signing Jadon Sancho and Arsenal’s Bukayo Saka were all unable to find the net with their own kicks as Italy ran out 4-2 penalty winners.
Southgate knows exactly what that feels like having seen his own penalty saved in the semi-finals of Euro 96 to allow eventual tournament winners Germany to progress.
And when asked what he had told Saka after his decisive kick was likewise saved, Southgate said: “That it’s down to me.
“I decided on the penalty takers based on what they’d done in training and nobody is on their own.
“We’ve won together as a team and it’s absolutely on all of us in terms of not being able to win the game tonight, but in terms of the penalties that’s my call and it totally rests with me.”
England’s players had revealed in the build-up to the final that they had been practicing penalties in case of such an occasion and Southgate insisted they could not have done more to try and ready themselves.
He said: “We were well-prepared and started well but unfortunately the guys weren’t able to convert tonight.
“They can’t look at themselves in terms of how they’ve practiced because they couldn’t have done that any more or any better.”
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Southgate took his side into a huddle as Italy prepared to lift the trophy, and the England boss explained that he told the players: “That we are all together, that they’ve been incredible to work with, and they’ve given the country some incredible memories.
“Tonight is going to be extremely difficult for all of us of course and you need to feel that disappointment because the opportunities to win trophies like this are so rare in your life.
“But when they reflect on what they’ve done they should really feel incredibly proud of themselves.”