But Southgate's side rallied impressively and Simon Kjaer's own goal saw them level before Harry Kane fired the hosts to victory after Kasper Schmeichel saved his initial penalty, sparking pandemonium across the land.

Now the attention turns to Sunday and England's date with destiny against Italy in the Euro 2020 final.

"They've responded to what was always going to be a really challenging night," Southgate said of his players.

"We were so smooth through the quarter-final and relatively unscathed through the second round. We knew that at some point we were going to concede and we would have to respond.

"Denmark have had an incredible tournament. I have got to give them huge credit. I thought they made it really difficult for us tonight. They pressed us so well, scored a fabulous goal – the boy is a super player.

"But I think on the balance of play when you look at the number of saves we forced the goalkeeper to make and long periods of the game where I felt we were the biggest threat, I think we deserved it.

"For our country, I've not heard this new Wembley like that ever and to be able to share that with everybody and share it with everybody at home is very special."

England's victory came 25 years on from the European Championship semi-final defeat to Germany, when Southgate missed the crucial spot-kick in the shootout.

But the Three Lions boss has spoken throughout the tournament about making history rather than fixating on the past.

"I felt calm in the lead up to the game because I felt the players, with what they've been through, were ready," Southgate said.

"You're never 100 per cent sure how they react in difficult moments but we have talked about it and they stayed clam.

"I didn't think we kept the ball well enough through Denmark's pressure from the front three and we're going to have to do that better on Sunday because Italy are very good at it so we need to find better solutions with that.

"But we found a way to win and we found the way to find the spaces further forward. Once we got into their half we were a threat all night.

"All of our wide players – Raheem (Sterling), Bukayo (Saka), Jack (Grealish), Phil (Foden) when he came on, Mason (Mount) – got in-between the lines or were in those one-against-one situations wide. They were a real handful.

"We managed to create good openings. I thought the goalkeeper for them had a fantastic game. He's a top goalkeeper.

"But we found a way to win. The second half of extra-time, I think it took us a while to realise actually to keep the ball to finish the game. It took us five minutes for us to work that out and then we got clued into it.

"We invited more pressure in that initial period than we needed to, but huge credit.

"These players have been immense from the first day we met back at Middlesbrough.

"The whole group. The boys that didn't make the final cut, the group that have been here together, all of the staff. They deserve what's been a really special night."