The Three Lions were seemingly heading for a second straight 1-0 victory following Friday night's win over the Netherlands after Vardy's 27th-minute strike against the Azzurri at Wembley on Tuesday night.
However, a Video Assistant Referee review adjudged England debutant James Tarkowski to have tripped Federico Chiesa in the penalty area just three minutes from time, and Lorenzo Insigne made no mistake from the spot.
"We started off strongly in the first half and created lots but in the second half Italy started pushing on and had a few chances themselves so all in all I think it was a fair result," Vardy told ITV Sport.
"The game showed that we could defend as a unit and we had chances in attack which will take care of itself. We will see how far we can go [in the World Cup]."
The result sees Gareth Southgate's side stretch their unbeaten run to eight matches.