The 28-year-old can't wait for it to begin and has revealed how a conversation between Southgate and his players - which included a video aimed at showing the squad how important representing their country at the tournament will be - got him even more revved up.
"The whole talk from the gaffer and what we talked about was incredible," Coady told talkSPORT's England correspondent Faye Carruthers.
"It was something we didn't expect. It gave me goosebumps watching the video and hearing him. He spoke about our own legacy and creating memories for people of this country.
"What we've all been through this year and what we're all looking forward to now over what we hope is the next four or five weeks. He spoke about the sun shining on ourselves."
On Monday, Southgate penned an open letter to fans insisting that England won't just be 'sticking to football' at the tournament as he pledged to tackle online abuse amid growing racism on social media in recent years.
England stars Marcus Rashford, Raheem Sterling, Kyle Walker, Reece James, Tyrone Mings and Jude Bellingham were racially abused online during the 2020/21 season.
In an open letter to England fans in The Players' Tribune, Southgate said: "This is a special group. Humble, proud and liberated in being their true selves.
"Our players are role models. And, beyond the confines of the pitch, we must recognise the impact they can have on society. We must give them the confidence to stand up for their teammates and the things that matter to them as people.
"I have never believed that we should just stick to football.
"I know my voice carries weight, not because of who I am but because of the position that I hold. At home, I'm below the kids and the dogs in the pecking order but publicly I am the England men's football team manager. I have a responsibility to the wider community to use my voice, and so do the players…"