The Manchester United winger was called into the Under-21 set-up, dropping back down from the senior squad, by Southgate.
And Zaha feels the new crop of Under-21s is very good, following their win over Moldova U21s last week.
"It was my first game with some of these players and we all play differently and just have to understand each other really," said Zaha ahead of the game in Finland on Monday.
"For a first performance together, it was a good game for everyone.
"The squad has gelled together really well, we all get on well and when we get on the pitch we're on the same wavelength."