And he was involved in a hilariously awkward interview with Channel 4, with presenter Jules Breach pivoting to Joe Cole.
Cole didn't seem ready to ask a question, however, and an awkward moment of silence then broke out.
The former Chelsea and West Ham star responded by making a joke, saying to Southgate: "So you didn't ask, what are you doing for Christmas?"
Southgate saw the funny side and asked Cole: "What are you doing?"
The ex-Premier League star then put the blame on Breach, quipping: "No, she threw to me there and I didn't have a question.
"So I thought I'd just ask you that."
It came after England fans were heard chanting 'Channel 4 is f*****g s**t' during the match.
That was one of the more entertaining aspects of the fixture, with the match desperately lacking quality.
England are unlikely to care, however, having ended qualifying unbeaten from their eight matches in the competition.
They won six of those, while only failing to beat Ukraine and North Macedonia away from home.
England will now be in Pot 1 for the Euros draw next month, with the main event due to take place next summer.
Speaking after the Three Lions maintained their unbeaten streak, meanwhile, Southgate pinpointed the biggest positives of their qualifying campaign.
“I think the really big results were in March winning in Italy and the result against Ukraine so it meant coming here tonight was a completely different test,” said Southgate.
“Given that we had already qualified and everything we achieved, I thought the mentality of the players tonight was excellent and the quality with the ball was good on a very difficult pitch.
“It was probably just that finish, that final pass which was difficult to find against their defence but I thought lots of positives to take from these performances.
“We’ve now got the next exciting bit with the draw at the beginning of December so we will see exactly what the path looks like.”
And the 53-year-old also hailed Trent Alexander-Arnold and Rico Lewis for the way they performed.
“There are lots of players to keep track of, because in this batch of games, Trent [Alexander-Arnold] has again done an excellent job in midfield, has used the ball really well and has done really well," he said.
“He [Lewis] was excellent, his composure with the ball, the fact that he did respond as he did to the setback which was really, really harsh.
"He is a super footballer and he was excellent, I thought. We are really pleased with him."