The Three Lions suffered a shocking 4-0 defeat at home to Hungary in midweek which has led to many questioning Southgate's future as manager of the national team but Sterling feels that the coach should be judged on his impressive record at major tournaments.
The Manchester City forward told BBC Radio 5 Live: "I think it's been a disappointed camp overall in a sense that there's been games that we should have won.
"But football's cruel sometimes and we'll take this one on the chin, recover well and get ready for the campaign in September.
"Of course it's disappointing, of course there are going to be question marks, of course there are going to be doubts.
"But I'm more than confident in the group we have. It's solely down to us as players."
Sterling suggested that Southgate has helped a lot of players grow in an England shirt and has been experimenting with a mix of players in the recent matches.
He said: "I keep saying after these last couple of games, you can't be judged on that.
"If you look at the steps that he's made over the last couple of tournaments, semi-final and a final, I think a couple of bad results in the Nations League is not something that we can judge him on.
"He's led us incredibly well. He's showed us the way, he's helped us mature from young men to senior pros, a lot of us in the dressing room.
"He's doing that now with a lot of the young lads and he's trying to make sure that everyone's got enough experience for when we do hit the big time we're all ready."