'Of course it was heartbreaking, but they've brought a nation together' ITV News Sports Editor Steve Scott gives his final thoughts on England's Euro 2020 journey
The nation was at a standstill for the Three Lions’ biggest match in 55 years and Luke Shaw’s second minute goal had fans daring to dream that football could well be coming home rather than going to Rome.
But after extra time finished a goal apiece, it was to be Italy's night - with the visitors claiming a 3-2 on penalties.
Jordan Pickford denied Andrea Belotti and Jorginho, but Marcus Rashford hit the post before fellow substitutes Jadon Sancho and Bukayo Saka were denied.
Southgate took full responsibility for England’s failure from the spot.
"We prepared as well as we could for that and that’s my responsibility, I chose the guys to take the kicks," he told ITV.
"No-one is on their own in that situation. We decided to make the changes right at the end of the game and we win and lose together as team."
On selecting Saka to take the fifth penalty and also making very late substitutions to get more takers on Southgate: "That's my decision to give him that penalty so it is totally my responsibility: it is not him, Marcus or Jadon."
"We worked on it in training and that’s the order we came to. My call as coach," the England boss told ITV.
"It is always the risk you run but they have been by far the best and to get all those attacking players on you have to do it late.
"It was a gamble but if we gambled earlier we may have lost the game in extra-time any way."
Captain Kane told ITV it was important to use the experience to spur them on with a World Cup just around the corner.
"We will look back and look at things we could have done better. That is what we have to learn from," he said.
"We have a big 18 months ahead of us. We have to get it out of our minds and focus on that."
"I think for sure (it feels like) a missed opportunity. It’s not every day you get into finals, especially for the national team," Kane said.
"The opportunity was there for us, we didn’t quite take it and that’s going to hurt for a very long time – but that’s football and we have to get over it and move on," the captain continued.
"We have to build belief from this, we have a great young squad. We have to dust ourselves down, hold our heads high and get ready for that tournament."
Harry Maguire told ITV: "I'm heartbroken, disappointed, gutted. The lads are devastated. We gave everything. We gave absolutely everything."
The Duke of Cambridge, who as President of the FA was at Wembley for the final, led congratulations to Italy and commiserations to England.
In a tweet from the KensingtonRoyal account, William said the result was "heartbreaking" for England and congratulated Italy.
"@England, you’ve all come so far, but sadly this time it wasn’t our day. You can all hold your heads high, and be so proud of yourselves — I know there’s more to come. W," he wrote.
Prime Minister Boris Johnson said England "played like heroes", adding: "They have done the nation proud and deserve great credit."
England fans in Trafalgar Square embraced each other following the team’s loss, supporters collapsed to the floor, some could be seen crying, while others hit things in anger.
Distraught fans at the Newcastle PaddyPark fans’ zone clapped the England players as they lost again on penalties.
ITV News Correspondent Paul Brand has reaction from disappointed fans around the country
In Rome, celebrations were marginally more subdued with stricter Covid protocols limiting the number of fans gathered to watch the game.
Car horns and fireworks could be heard across the city as the Italians celebrated their win.
In Rome, ITV News Europe Editor James Mates reports on reaction
Scenes outside Wembley had turned violent before kick off - and continued during the game - with a security breach inside the stadium before kick off.
The Metropolitan Police said there had been 45 arrests so far by officers policing the Euro 2020 final, they said a number of officers remained on duty.
Police confirmed after kick off there had been a security breach at the stadium, after authorities initially said no-one without a ticket had been able to gain entry.
ITV News cameras capture the moment supporters appear to breach security at Wembley
In a statement, the Met said: "Earlier this afternoon there was a breach of security at Wembley Stadium, which resulted in a small number of people getting into the stadium without a ticket."
The statement continued: "Officers worked closely with security officials to prevent any further breaches.
"We will also support action by Wembley Stadium officials to identify those without tickets and eject them."
Story of the game: How Italy claimed victory at Wembley
The contest was tight in the 90 minutes of normal time.
It was a dream start for England, scoring after only two minutes, with Shaw putting away a stunning cross from Trippier to give England the lead early doors.
The Three Lions lost their attacking flare in the second half, forced to defend against a determined Italy.
The visitors eventually hit the back of the net - a shot from Bonucci at close range levelled the scoreboard in the 67th minute.
It was a tense six minutes of time added on, with Saka pulled down by the back of his shirt, but things went to extra time with all things level.
England had promising chances in the first 15 minutes - Sterling broke into the box but was unable to get a shot in, while Philips smashed in a shot from 20 yards out too which snuck just wide of the post.
Supporters in Rome rejoice as Italy level the scoreboard
Fan favourite Jack Grealish came on nine minutes into extra time, replacing Mason Mount, to give England a pair of fresh legs and some renewed vigour.
The Three Lions came out fighting in the second half of extra time - England had a chance from a free kick five minutes before the final whistle but were unable to deliver.
Grealish was on the end of a brutal challenge from Italy's Jorginho, who was booked for going in studs first.
It came close for Stones too in the second half of extra time - he nearly got a head to it after a sharp cross from Kane on the edge of the box.
The 60,000 strong crowd at Wembley, with England fans in the majority, kept their voices heard throughout the final.
Chants of Football's Coming Home and Sweet Caroline invigorated Southgate's side under sustained attacks from the visitors.
Before kick off, Southgate paid tribute to fans who had cheered on the team bus.
Supporters in Trafalgar Square react as England open up the scoring
"They've had an incredible journey to the ground - people were lining the route - people of every religion, every colour, every heritage. It's wonderful to see how it's brought everyone together," he told ITV Sport.
The England manager said, above all, his team needed "composure" as they face Italy.
"We have to make good decisions on the field, we've got to make sure that we play with discipline, but also we've got to make sure that we bring our best game."
Boris Johnson, Prince William and the Duchess of Cambridge were all pictured in the stands to watch the final.
As was young Prince George - who also watched the semi-final with his parents.
The seven-year-old was seen laughing and applauding after England put away the opening goal.