"Our journey might get just as hard as theirs as we go along", said Southgate.
He added: "In an idealistic world people would say to walk off the pitch but that means we would be thrown out of the tournament, which. many people would agree with".
After flying into Saint Petersburg, England headed to their base camp in the seaside town of Repino, 45 kilometres (30 miles) northwest of the city, where preparations will start for the Three Lions' opening game against Tunisia on Monday.
"There will be tough moments and there will be ups and downs".
Should England reach their first World Cup final in 52 years, Southgate's heroes may well come up against world number one GERMANY in a repeat of the 1966 tournament.
A 53-year-old song written by a Scot has been promoted as England's "secret weapon" for the World Cup.
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The former Crystal Palace and Everton boss feels he should still be in charge of England and, in a BBC documentary to be aired on Sunday, said: "Jealous is what I feel". "I've felt that there are different ways to bridge that - the most important is the way you play, and your performances and your results".
Donegan penned the song in 1965 as the official tune to go along with the Football Association's mascot for the tournament.
"But I always look at my game and see how I can get better. I want to score in tournament football and that's what I will try and do".
"But our focus as a team has to be on the bits we can control". It's the one competition everybody dreams of winning.
The Manchester United youth product, who has scored thrice while on worldwide duty, was set to attend his first World Cup this month, although his most recent injury has put his inclusion in doubt.
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