England will meet Holland for a place in the final after defeating Switzerland on penalties in the quarterfinal and Slovakia in extra-time in the round of 16.
But Southgate insists: "Look, the teams we've played are because we won our group. If you go back through history, England had different routes to the final because we didn't win our group.
"I understand of course, you'd rather not have to jump the Grand National to win the tournament.
"Most teams, when you have back-to-back games, two, three, four games against big nations the margins are so fine and then those games end up quite even - you win one, you lose one, so it's very tough to go through those processes.
"I'm not really sure what to say, it's the madness of this job, but it's been an enjoyable night and I will try to keep it that way."