England had to work hard to reach the showpiece final at Wembley on Sunday against Italy, winning 2-1 after extra time through a Harry Kane penalty.
Denmark took the lead in the game through Mikkel Damsgaard's free kick, but a Bukayo Saka cross was accidentally turned in by Danish defender Simon Kjaer to bring England level less than ten minutes later.
Neville felt Pickford should have saved the Damsgaard free kick, as it was not in the corner of the goal.
He said on ITV at half time: "Most definitely [should have done better]
"I think we feared the worst when it was being lined up as Roy (Keane) said the goal was coming.
"Denmark were getting through us far too easily, our back four were getting pulled apart it's a long way out, and I think if the ball goes in the corner you've got no problem."
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