"I remember going back to the hotel and sitting having dinner with Stuart Pearce, who'd lived through what I was going to live through," Southgate said.

"He was able to immediately give me some information about what the next few months might look like and the things I might experience. Looking back that was invaluable really."

The England boss was speaking about his experiences with the Duke of Cambridge as part of the Heads Up campaign's #SoundofSupport series.

The campaign, led by the Duke, seeks to encourage football fans, men in particular, to feel confident and comfortable in reaching out for support on mental health issues should they need it.

Southgate admitted the penalty miss in the semi-final against Germany was the toughest moment in his professional life.

"You're in probably the biggest game the team have had for 30 years at that time, the country was on a tidal wave of emotion and good feeling, and then you walk away from the stadium feeling you're the person who is ultimately responsible for that finishing," he said.

"I never felt anger, I just felt regret, remorse, responsibility. To a small degree that still lives with me, to have failed under pressure under that huge spotlight is hard professionally to take."

Southgate says he also found being sacked in his early years as a manager a difficult thing to cope with.

"You don't know how to talk to your own family about it, you don't know how to look at people as you walk down the street, you assume everybody's looking at you and they're probably not," he said.

"But the inner voice in your head which is such a key to everybody's well-being is telling you all of these things and can be running away with itself, catastrophising."

Southgate said it was vital in his role as England manager to not only protect his players, but to get the message out to football fans more widely to seek help when they need it.

"The message in a high-profile way is to start to influence people's thinking," he said.

"There's often this feeling 'I'm the only one, there's nowhere to go' and some of the most successful people in the world have had these issues or have had problems with self-confidence, self-belief.

"It doesn't have to be an extreme case, there are various issues with people's mental health which can affect how they feel or how they perform. It's making sure we don't feel there's a stigma for people, that it's acceptable to look for help."