But regardless of how things pan out over the next five days, Southgate and Henderson are certain that more good times lay ahead.
A much tougher test is expected in Moscow on Wednesday against a Croatia side that swept past Argentina in the group stages and boasts the midfield talents of Real Madrid's Luka Modric and Ivan Rakitic of Barcelona.
Although with a potential World Cup final on the line, you would expect the side which is crammed with talent to step up for the biggest game in the last 20 years for Croatia. If we are right collectively and defensively then individuals don't matter.
Henderson said of England's semi-final opponents: "They have got some fantastic players". This team is nowhere near the level they're going to be capable of, partly due to their age but also because they'll have more big-match experiences over the next few years.
Before their arrival in Russia, England had not won a knockout game since the 2006 World Cup.
Croatia have gone all the way in each of their two knockout games, drawing 1-1 with Denmark and 2-2 with Russian Federation after extra-time, beating both on penalties.
They beat Tunisia in their tournament opener thanks to a late Harry Kane goal, brushed aside a poor Panama, edged out Colombia on penalties and easily beat Sweden in the quarter-finals.
However, Kane's partner in attack, Raheem Sterling, has pace to burn and England's totem will be on hand to benefit if that causes problems for the Croatians. They'll be one game from being World Cup winners.
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- England has not beaten two European nations in a single World Cup since 1982, when it beat Czechoslovakia and France.
"It's been a long season, but you play in a World Cup semi-final once in a lifetime and there's no point giving up now".
"We are really proud with the style of our play, the intelligence of our play and that we have performed under pressure".
Kane managed just one shot in that 2-0 success but will relish facing a Croatia defence that have conceded four goals in their last three games, failing to keep a clean sheet in any of them.
England have scored eight out of their 11 goals so far from set pieces including penalties. Hopefully he has a quiet night [on Wednesday] and we'll try our best to make sure that happens.
"Health has to be number one, but to play for the Croatian team, to play in the World Cup semi-final, I do not need to even say that I will be giving it 300% to be fit".
The captain was the man of the match again in the penalty shootout win over Russian Federation in Sochi at the weekend.
The big Croatian looks likely to shake off the hamstring injury that hampered him against the Russians and would be an imposing figure between the sticks for England's penalty takers if a place in the final came down to spot-kicks.