England meet the Danes at Wembley in front of 60,000 fans, the vast majority of whom will be desperate to see Southgate's side go one step further than they managed 25 years ago at Euro 96.
Southgate missed the decisive penalty that night in a shoot-out against Germany but when asked if he would view beating Denmark as revenge, the 50-year-old said: "It is not about what it is for me, it is about what it is for our players, all of the staff and for our country.
"We don't have as good a football history as we like to believe sometimes. These players are making massive strides and breaking barriers all the time. We've broken barriers in this tournament and we have another opportunity to that tomorrow.
"We have never been to a European Championship final so we can be the first, which is really exciting for everybody. We respect the Danes. I am obviously old enough to remember them winning it [in 1992]."
England have reached their third semifinal in four years, having made the last four of the 2018 World Cup in Russia before losing to the Netherlands at the same stage of the inaugural UEFA Nations League a year later.
Southgate believes fatigue was a factor in both defeats but believes his squad are in a better place this time having employed a greater degree of rotation in their five matches at Euro 2020.
"[The semifinals were] two very different experiences for us really," he said. "The Croatia game [in 2018], it was the furthest we've been and I think we would acknowledge we could have made changes during that game to improve the situation.
"But equally, we weren't as brave with the ball once we'd gone ahead. We went ahead so early in the game. So the tournament played out differently for us, fatigue became a factor definitely in the second half.
"We'd had extra time in one of our matches prior to that, we'd had a very consistent team so we are in a slightly different place in terms of the depth and strength of the squad now.
"And the game with [the Netherlands in 2019], again was bizarre with us because we had eight boys in the Champions League final three days before the game so our preparation for that was all over the place.
"Again, with that game, very tight. We were half of Jesse Lingard's foot away from being 2-1 up with eight minutes to play [as he had a goal disallowed by VAR].
"We made errors through fatigue in extra time. They were two different experiences but it has given us the understanding of preparing for those big matches and what they feel like. I think that's part of a journey sometimes teams have to go through.
"I remember Germany got to a couple of semifinals before they finally cracked it and that has got to be our aim now as a team."
Denmark beat England on their last visit to Wembley in October during a Nations League group stage match with Christian Eriksen scoring the only goal. Eriksen suffered a cardiac arrest in Denmark's opening game at these finals, a trauma that has seemingly galvanised Kasper Hjulmand's side during an improbable run to the last four.
UEFA have invited Eriksen -- and the medics who saved his life -- to Sunday's final as a special guest and his former Tottenham Hotspur teammate Harry Kane is targeting an emotional reunion after the tournament.
"I said after it happened, of course I texted him and wished him well," said England captain Kane. "I look forward to seeing him and catching up with him. Of course it would be nice if England are playing in the final and I can catch up with him after hopefully a happy day.
"I'm good friends with Christian and his family as well. Whether he decides to come or not, of course I hope to catch up with him soon. From my point of view, I'm glad he is recovering well and just hope he continues on that path until we do meet again."