When Southgate took over as manager in November 2016, England had suffered humiliation at Euro 2016 when they lost to Iceland in the last 16.
But at the following European Championship, three years ago, they reached the final at Wembley where they lost to Italy in a penalty shootout.
At that tournament they also began their campaign with a narrow win and an underwhelming draw, but ultimately qualified as group winners.
“We are trying to do something that has never been done before. So that is going to be a bit of a rollercoaster,” Southgate said.
“It’s not going to go smoothly when you are trying to achieve extraordinary things. They are bloody difficult.
“We have to accept the level of expectations, we have to accept the arena we are in. And we have to find a better way of playing to how we have so far.”
Southgate, who also led England to a World Cup semi-final in 2018, is the first manager to take England to a major final since Alf Ramsey’s side won the World Cup in 1966.
Responding to the criticism his side have received following their opening two performances, Southgate said he is focused on helping guide the players through the “difficult period” which lays ahead.
“I am seeing every day that they are loving working together,” Southgate said.
“I don’t think it is a lack of spark. At the moment, they ironically care too much and they need firm leadership at this time, in my opinion.
“We have to guide through the difficult period that is coming but really stay on track and focused on this challenge ahead.”