Southgate revealed the Wolves captain has been such a hit during the international break that he was invited to join England's leadership group.
He said: “In terms of the leadership group, it ends up having to change every time we're together because we never, ever have a full squad to pick from.
"But Conor Coady has been a great addition into that, for sure."
The other key point for Coady is that, despite his brilliant progression with Wolves for the past five years, the question has always been whether he can play in a conventional back four.
Southgate added: “His performance against Denmark and the way him and Tyrone Mings organised the defence from the back really helped to keep us in that game.
“They showed tremendous character and resilience to lead the team from that position, as did Kyle Walker. The back four really did a fantastic job.
"I can't criticise any of the players in terms of the way they played. I thought they were excellent."