The Three Lions crashed to a 1-0 defeat at Wembley to Denmark in the Nations League.
It was a game marred by poor discipline, with Harry Maguire and James both sent off.
But Southgate had words of praise for the young Chelsea man.
On James, Southgate told reporters: "That's a lesson he's got to learn. He had an incredible debut, he's impressed me all week.
"Until that moment he'd showed great maturity.
"It's ended up something that shouldn't have happened but for the overall week he's made a positive impression."