Pickford is set to start between the posts for England against Italy in the final of Euro 2020.
Mourinho explained on talkSPORT on Friday: "He was the only one who showed signs of not being at the top of his game. That urgency of playing immediately.
"The guy has to relax and calm down. Between him and the other keepers and the coaches to try to relax him.
"The biggest thing about a keeper is not to make impossible saves but to not make silly mistakes. Don't create instability.
"If you feel pressure, don't try to play out from the back, kick it long. Don't put your team under pressure."
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