Ambassador: Southgate is supporting the Hoof It Drinkaware Campaign
According to the former England defender and Middlesbrough gaffer, managers should take more of the blame if players miss.
And goalkeepers should save more and be held equally responsible if they fail to do so.
Speaking to Sportsmail ahead of World Cup 2010, Southgate said it is impossible for players to prepare themselves fully for the pressure, no matter how much they practise in training.
'Nothing will actually prepare you for that moment when you have to stand in that centre circle and you have to walk 40 yards,' he said. 'And even if you've done it for your club, it's different when it's for your country.
'It's a huge mental challenge and it's a huge challenge on your technique under pressure.
'You can never totally be prepared. Frank Lampard is one of the best penalty takers we have and he's missed his last two. No matter how good you are or how much you practise, on any given day you can still miss - it's a one-off situation.'
Managers should, as a result, take greater responsibility for penalty misses, according to Southgate. He said David Moyes's attitude to the shoot out in Everton's victory over Manchester United in last year's FA Cup semi-final was an example to other managers.
Nightmare: Southgate misses from the spot against Germany at Euro 96 and is later consoled by team-mates (below)
Moyes discussed with his players where they would place their penaltykicks before the shootout. He then told them to stick with that decision and said he would take responsibility for any misses.
'Thatwas great management because he reduced the thinking and relieved the burden of pressure on his players,' Southgate said.
'I'm sure Capello will be taking some of the responsibility.'
Southgate said a good manager allocates a few potential penalty takers before a game and selects which is most appropriate to step up according to injuries and form on the day.
He said: 'For penalties given duringthe 90 minutes you have two or three people as the penalty takers. You have to have options in case somebody gets fouled for the penalty and isinjured.
'At some clubs, if a player gets fouled he doesn't take the penalty. It's different scenarios for different coaches.
'It also depends who is confident and playing well on the day.'
Spot on: Everton players celebrate beating Mancheseter United in 2009
Goalkeepers also have their part to play, according to Southgate, and with technology available to analyse in depth opposition penalty takers they should be held as responsible for penalty failure as outfield players.
He cites as an example Ben Foster watching footage of Tottenham players taking penalties before the shoot out in last year's Carling Cup Final.
Foster saved three and United won the shoot out 4-1.
'That's just research that I think every team should do now,' Southgate said. 'You would know the opposition's players. A goalkeeping coach now will have studied the opposition that they are likely to face and would have an idea where their favoured penalty is.
'You try to narrow it down as much as possible. They can also tell from a player's run up and dictate from that.
'Goalkeepers are very well prepared now. You tend under pressure to have a preference to where you put it - you revert to your favourite position. It's as much of a responsibility for our goalkeeper to save some as it is for the outfield players to score.'
Big Ben: Foster saves from Spurs' Jamie O'Hara last year
Southgate, who was sacked as manager of MIddlesbrough last October, said he has turned down various job offers in the last few months.
He was even contacted by a Portsmouth player's agent about his plans for the player - though he insists he has not been offered the Pompey job. He is instead concentrating on other projects, including appearing in the ITV studio as a World Cup pundit.
Southgate expressed concerns about England's preparation for the World Cup but said, in his experience, pre-tournament games are no indication of a team's potential.
'It's probably a good thing that the games so far haven't gone brilliantly. Maybe it's kept expectation levels low, which takes the pressure off the team. And the draw is pretty kind. England are unlikely to face a team you would fear until the semi-finals,' he said.
'The one concern is there hasn't been a settled line-up. I know the manager has had to try different line ups but you'd have liked to have seen over the last few months a slightly more settled team.
'Since they qualified they've only had a few matches so you don't get too many matches to play together anyway. All will be revealed as to whether the preparation has been right or not.'
And while England are not expected to win the tournament, Southgate insists the team are in with a chance.
'We're not favourites but we've got a team that on their day are capable of beating anybody,' he said.
Gareth Southgate is supporting Drinkaware's 'Hoof It' campaign to help football fans be 'match fit' and think about their drinking throughout the summer. Drinkaware.co.uk/hoofit Sign up for our daily World Cup emailRolling blog from our men in South AfricaFollow our World Cup writers on TwitterWorld Cup sweepstake kit Capello's boys take note - the perfect penalty formula has been uncoveredWorld Cup penalty takers to be yellow carded for feinting in South Africa