Shaw, 23, was voted as United's best player of the season by his team-mates, but will not be representing England at this summer's Nations League Finals.
Southgate has instead opted for Tottenham's Danny Rose and Leicester City's Ben Chilwell at left-back, with the Three Lions to face Netherlands in the semi-finals on June 6 before a potential final against either Portugal or Switzerland on June 9.
Asked whether leaving Shaw out was a difficult choice, Southgate told reporters: "No. I think Ben Chilwell and Danny Rose have been excellent. At the moment they are ahead."