Shaw knows what it is like to score a big goal in a European Championship – he opened the scoring for England in the Euro 2020 final against Italy inside three minutes with a powerful volley.
But watching from the bench, he says he has been put through the wringer just as much as the England fans.
“I felt more nervous watching than playing – it is quite tough,” he said.
“I never once thought that we were going to go out. We have to believe right to the end.
“Good moments like Jude’s [equaliser] can happen, but it’s down to us to deliver that on the pitch.
“Game by game we are getting better – there’s things we can still improve on but we’re looking good.”
Shaw has become a key player under Southgate, starting every match at the 2022 World Cup, and defended his manager over the criticism he has received for his selections and style of play.
“I don’t understand the criticism,” Shaw said of Southgate, who has become the first man to lead England to three major tournament semi-finals.
“What he’s done for the country and us players, he’s taken us to the next level. No manager has been as successful as he has recently.
“Us players love him – he’s exactly what we need. He allows us to go out on the pitch and be our best. He’s shown a lot of faith and trust in picking me.”