Keogh, who has skippered the Rams this season because of Shaun Barker's long-term injury, knows that plenty is expected of Derby after their impressive 6-2 win over Brighton & Hove Albion in the semi-final.
He is certain that the club can handle the pressure of the big occasion.
"What we can affect is what happens when we cross the white line at Wembley Stadium," he told the club website.
"That comes from preparing properly and not getting caught up in anything else.
"We have to make sure we're mentally prepared as well for what lies ahead."
Keogh, 27, appeared in all but three of Derby's Championship games this season as the Rams finished third in the table.
They are looking to return to the Premier League after six seasons in the second tier.