The 27-year-old was among the established names overlooked for the recent friendlies against Germany and Brazil, with the likes of uncapped Ruben Loftus-Cheek, Joe Gomez and Tammy Abraham preferred.
Smalling, capped 31 times by his country, has impressed for United this season, but Southgate overlooked him as England are moving towards a style of "using the ball from the back and building up in a certain way".
Those comments compounded his omission and clearly grated on the centre-back.
"Was I surprised? Yes, I was," Smalling said. "But you don't play for one of the biggest clubs in the world for as long as I have and probably won the most trophies bar the Champions League without being able to do everything a top defender needs to do, be it playing or defending.
"This year, as a team, we've got one of the best defensive records and we have done for the last few years and I'm very proud to be part of that.
"While I'm playing under Jose (Mourinho) and he's happy and I'm playing regularly, then I'm happy with that."
Smalling, speaking ahead of United's Champions League clash in Basel, did not hold back when asked about the decision, with his belief of forcing his way into Southgate's thoughts for the World Cup clear.
"I play for one of the biggest clubs and under one of the most successful managers in Jose," he added. "And as long as that's the case, I think, ultimately, it's your club form that decides whether you play at a World Cup because there aren't many England games throughout the season.
"While I'm playing regularly here and part of a very successful team I think that should show come the summer. I don't really feel like I need to prove anything to Gareth.
"Like I said, I play for one of the most successful managers in Jose and he's only going to pick the best players.
"While I'm playing regularly and he's happy I think, if my season carries on like this and we have a successful season and our team continues to concede very few goals, then I think it give him maybe no choice in the summer but to pick me."