Following the full-time whistle in Milan on Friday, boos were heard in the direction of Southgate as the 52-year old applauded fans for their support after England were beaten 1-0 by Italy, confirming their relegation from League A Group 3.
Sterling defended his manager in today's press conference, pointing out where Southgate has taken the Three Lions in the past four years.
"For what he has done since he has been in the job, he’s taken us to a semi-final and a final, and it just shows the direction we are going in.
"We all know that this is what comes with football and playing at the highest level."
The Chelsea man also hinted at the constant demand for the players to win but it is something they have to deal with at their level.
"You are under scrutiny and a lot of it is unfair, of course, but that is the level we are at with England.
“We are always under that pressure to win, and this small loss of form is not something we need to panic about. We now have a big opportunity coming up in the winter to go out and show what we can do again."
Sterling went on with his defence of Southgate, praising the way he has brought the players together at St. George's Park since his appointment.
"Since the manager has come in he’s always tried to protect us. He’s always tried to make the environment really calm for us so that we can go out there and do what we need to do on the football field."
He also emphasised that he and his teammates have to take the blame for their recent performances, including last summer's Euro final loss to the Italians and they are working to get back on track.
"After the summer, we all had to come away and look at ourselves. None of us were proud of those performances and I don’t think it is for Gareth to shoulder all of that blame.
“We’ve got players in our squad that play at the highest level, and we need to take some of that responsibility and start to put some of these performances right, and win football matches."
Despite it now being a dead rubber game, England will attempt to turn a page after their loss to Italy when they face Germany at Wembley tomorrow night, with kick-off at 19:45 BST.
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