The Lionesses made history by winning their first major trophy last weekend and the Inter Miami boss was emotional to see many of his former players lift the trophy.
Neville was watching the game with Inter Miami owner David Beckham and believes that the victory will change the course of women's sport in England forever.
He said: "That’s changed women’s sport, never mind women's soccer. There’s only one word, just immense pride.
"I watched the game with David and we jumped up, we celebrated and we felt just an immense pride watching it. I did feel emotionally attached because I always say, 'These are my girls. These are the girls that inspired me and made me a better manager.'"
Neville gave matchwinner Chloe Kelly her England debut in 2018 and can barely believe how her career has panned out.
He recalled: "She was just a little baby at the time. She was literally shaking as I put her on the field. Now she scores a goal in the Euro final. It was an emotional moment for me.
"I was going to say 90 minutes but it was extra time as well. It was an emotional moment because all these girls have inspired me and 87,000 people at Wembley Stadium and I think 20 million people back home in England watching [on TV]."
The United States has long been the top nation in the women's game but Neville feels that other countries are now catching up.
He said: "America was always the standard-bearer. I feel as if the rest of the world has caught up and maybe America’s maybe a little bit complacent now. Maybe this has given them a we-need-to-kick-on-again [feeling]."