The teenage left-back moved to the Young Lions for their European Championship playoff triumph over Croatia.
Southgate was delighted with the attitude shown by the former Southampton defender after he missed out on a call-up to the senior team for their qualifiers against San Marino and Estonia.
He told talkSPORT: "You only have to talk to Luke Shaw to see how much he enjoyed the two matches.
"He played extremely well and Croatia were a fantastic test for him. He's shown humility to come down and fit in with the group and that's what you hope for but it isn't a given that that happens.
"Raheem Sterling was the same when he came down and played with us earlier in the year and if we can start to breed that mentality in our players then it gives them a great chance of being successful."
Shaw moved to United for around £30m back in June.