"It's been a long season, but you play in a World Cup semi-final once in a lifetime and there's no point giving up now".
For all of the hype around England, they have yet to come up against one of the really big guns at the World Cup. "We'll just have to assess the bodies", said Southgate.
They beat Tunisia in their tournament opener thanks to a late Harry Kane goal, brushed aside a poor Panama, edged out Colombia on penalties and easily beat Sweden in the quarter-finals.
While many outsiders view that unexpected Croatian run to the last four as a great success, inside the country many share the view of the team's then manager Miroslav Blazevic that it was a missed opportunity.
Croatia, meanwhile have made the World Cup knockout rounds for the first time since 1998, when they reached the semi-final and finished third overall.
In Luka Modric and Ivan Rakitic, Croatia boast two of the finest midfielders in world football, a fact not lost on fellow schemer Henderson.
The captain was the man of the match again in the penalty shootout win over Russian Federation in Sochi at the weekend.
Familiarity with the surroundings could give the Three Lions a slight edge in the nervous cauldron of a World Cup final but they won't be looking that far ahead.
England have not won a major trophy since the World Cup in 1966 and have only reached two semifinals since: in 1990 and at Euro '96, when Southgate became a poster boy for the tournament for the wrong reason after missing the decisive penalty in the shoot-out defeat against Germany.
"We'll just have to assess people as we go". We feel we're in a good place playing well, but football is a low scoring game with random events that can happen. But there is less pressure on them now. They may have been forced to overcome Denmark and Russian Federation with penalty shoot-outs, but they cruised through their group with a 100 percent record and possess world-class stars such as Modric and Ivan Rakitic.
Goalkeeper Danijel Subasic soldiered on against Russian Federation despite hurting a hamstring, while right-back Sime Vrsaljko is expected to miss the game.
Southgate's plan has worked so far, so much so that an influx of England fans is anticipated in Moscow on Wednesday - many of them have bought into "Waistcoat Wednesday" in tribute to Southgate's World Cup outfit. That's obviously why they are in the semi-final of a World Cup. "We have dealt with hard situations in games".
'We have every player available so that is huge credit to our players for the way they've committed to the physical programmes we've done, ' he told the media on the eve of the match.