Left-back Shaw, 18, was selected for Wednesday's friendly with Denmark at Wembley and is expected to feature.
Boss Roy Hodgson is likely to select two from three of Leighton Baines, Ashley Cole and Shaw for the World Cup this summer, and he wants to give the Saints youngster a chance to stake a claim.
Shaw, who joined Southampton as an eight-year-old, is the fourth Saints star to be called up by Hodgson, following Rickie Lambert, Jay Rodriguez and club captain Lallana.
It is the first time Southampton have had four players in an England squad and Lallana says Shaw fully deserves his call-up.
"I'm not surprised at all," he said. "He has been outstanding for us all season. He looks like a seasoned pro and it was no surprise to see he was included in the squad.
"There are two outstanding players ahead of him (Cole and Baines) but he will keep his feet on the ground.
"He knows he is going to learn off them and if he watches them closely in training he knows it is going to do him good."
Lallana admits Lambert's call-up gave the others genuine hope that they could catch Hodgson's eye.
"Seeing Rickie being involved gave everyone an extra 10 per cent of belief," he said.
"We have had a good season at Southampton, been performing well on a consistent basis and we have all been helping each other.
"It is brilliant, it proves how far the club has come and to have four lads representing the country this week is fantastic."
Another product of Southampton's academy, Arsenal's Alex Oxlade-Chamberlain said of Shaw: "It is really good to see him here.
"I think he has been absolutely outstanding. The maturity he has been playing with and the consistency level has been unbelievable.
"He shot up and has matured and grown physically, he has taken that into the first team at Southampton and it has been a rapid rise for him but he has handled it really well."
Lallana was one of five players who missed training on Monday.
Kyle Walker, Andros Townsend, Steven Caulker and John Ruddy were the others. .
Spurs boss Tim Sherwood suggested full-back Walker would play no part for England after he was sidelined for Sunday's 1-0 win over Cardiff.
"He was not fit to play here today, so he won't be fit for England either," said Sherwood following the match at White Hart Lane.
"I'm not sure but he probably will (link up with England) as they will be training at our complex in the early part of the week."
Lallana played the whole of Southampton's 3-0 defeat to Liverpool on Saturday, but was not deemed fit enough to train with his England team-mates.
Cardiff defender Caulker, Tottenham winger Townsend and Norwich goalkeeper Ruddy were given more recovery time after playing in Premier League fixtures on Sunday.