Marcus Rashford, Jadon Sancho and Bukayo Saka were targeted on social media after they missed penalties in the 3-2 shootout defeat at Wembley Stadium.
"For some of them to be abused is unforgivable," said Southgate, who was speaking at a virtual press conference on Monday. "Some of it has come from abroad, we have been told this, but some of it is from this country.
"We have been a beacon of light to bring people together and the national team stands for everybody. We felt the energy and positivity from the fans and I'm incredibly proud of that," Southgate added.
Before and during the Euro 2020 tournament, the England players have knelt before each of their matches in a display of unity in the fight against racism and inequality.
That was an act that caused anger among sections of the England fanbase, with some supporters choosing to boo as the players knelt.
London's Metropolitan Police said it was investigating the "unacceptable" social media comments on both Instagram and Twitter, while UK Prime Minister Boris Johnson also condemned the racist abuse.
England's Jadon Sancho and Marcus Rashford get ready to come onto the pitch during the Euro 2020 final between England and Italy.
England's Jadon Sancho and Marcus Rashford get ready to come onto the pitch during the Euro 2020 final between England and Italy.
"This England team deserve to be lauded as heroes, not racially abused on social media," Johnson said on Twitter.
"Those responsible for this appalling abuse should be ashamed of themselves."
In recent weeks, Johnson -- along with other lawmakers in his government such as Home Secretary Priti Patel -- have been specifically asked to condemn the England fans who have booed players taking the knee before kick-off but failed to do so.
Gary Neville, former England international, criticized Johnson for not condemning those who booed the players in their battle for equality when he had the chance.
"Gareth Southgate and the players a few weeks ago, about five days on the trot told us that they were taking the knee to promote equality and it was against racism," Neville told Sky News.
"The Prime Minister said it was ok for the population of this country to boo those players who are trying to promote equality and defend against racism.
"It starts at the very top."
"The fact of the matter is, there is an issue obviously in football, there is an issue in society where we feel it's acceptable basically to criticize players for sporting actions because of the color of their skin," added Neville.
Ahead of Euro 2020, Southgate penned an open letter to the country, outlining why he thought it was important for players to continue using their voice for good.
"This is a special group. Humble, proud and liberated in being their true selves," wrote Southgate in the Players Tribune.
Prince William said he was "sickened" by the discriminatory abuse while the Football Association in England said in a statement it was "appalled."
The English national team's Twitter account tweeted its support for the players on Monday.
"We're disgusted that some of our squad -- who have given everything for the shirt this summer -- have been subjected to discriminatory abuse online after tonight's game. We stand with our players."
READ: Argentina beat Brazil 1-0 to win Copa America
England players comfort teammate Saka after he missed a penalty during a penalty shootout after extra time against Italy.
England players comfort teammate Saka after he missed a penalty during a penalty shootout after extra time against Italy.
'Social media companies must take immediate action'
Football players receiving abuse on social media is commonplace.
Savills, a real estate service provider in the UK, tweeted on Monday that it is "committed to eliminating discrimination and encouraging diversity amongst our workforce" after one of its employees appeared to be one of those abusing the England players on Twitter.
"A full investigation will be carried out in regards to this unacceptable incident," it said.
"Savills abhors and has zero tolerance to any form of racism and racial discrimination and is appalled by the racist comments in these tweets. Savills is immediately investigating and will take appropriate action."
Rashford has continuously highlighted the racist abuse he's been the target of over the last few years.
In the hours after England's defeat by Italy, a mural honoring Rashford was vandalized with graffiti in Manchester, United Kingdom.
The artwork commemorated the Manchester United player's work to tackle child food poverty.
The online abuse has led to calls for social media companies to do more to police their platforms.
Earlier this year, former Arsenal forward Thierry Henry deleted his social media accounts following a spate of online racist abuse aimed at Black footballers and what he said was the inability of social media companies to hold users accountable for their actions. A few weeks after Henry had closed his accounts, English football clubs and governing bodies took part in a three-day social media blackout to protest against abuse.
The Mayor of London, Sadiq Khan, called the racist abuse "abhorrent," and called on social media companies to take immediate action to "prevent this hate."
"Racist abuse of any kind is abhorrent and will not be tolerated on or off the pitch," tweeted Khan.
"MetPoliceUK (The Metropolitan Police) will investigate the appalling online abuse aimed at England players. Social media companies must take immediate action to remove and prevent this hate."
The chair for the Digital, Culture, Media and Sport Committee, Julian Knight echoed Khan's sentiment.
"Social media companies once alerted to this abuse have an acute responsibility to immediately take it down," Knight said.
"The Government needs to get on with legislating the tech giants. Enough of the foot dragging, all those who suffer at the hand of racists, not just England players, deserve better protections now."
Facebook, which owns Instagram, said in a statement sent to CNN that it was "committed to keeping our community safe from abuse."
"No one should have to experience racist abuse anywhere, and we don't want it on Instagram," a Facebook Company spokesperson said.
"We quickly removed comments and accounts directing abuse at England's footballers last night and we'll continue to take action against those that break our rules. In addition to our work to remove this content, we encourage all players to turn on Hidden Words, a tool which means no one has to see abuse in their comments or DMs. No one thing will fix this challenge overnight, but we're committed to keeping our community safe from abuse."
Italy's goalkeeper Gianluigi Donnarumma saves Sancho's penalty during the penalty shoot out during the Euro 2020 final.
Italy's goalkeeper Gianluigi Donnarumma saves Sancho's penalty during the penalty shoot out during the Euro 2020 final.
In a statement sent to CNN, Twitter said it removed over 1000 tweets in the past 24 hours for "violating our rules."
"The abhorrent racist abuse directed at England players last night has absolutely no place on Twitter," a Twitter spokesperson said.
"In the past 24 hours, through a combination of machine learning based automation and human review, we have swiftly removed over 1000 Tweets and permanently suspended a number of accounts for violating our rules -- the vast majority of which we detected ourselves proactively using technology. We will continue to take action when we identify any Tweets or accounts that violate our policies.
"We have proactively engaged and continue to collaborate with our partners across the football community to identify ways to tackle this issue collectively and will continue to play our part in curbing this unacceptable behaviour -- both online and offline."
Aleks Klosok contributed to this report.