Stuart Pearce's side scored just one goal and conceded five during results that goalkeeper Jack Butland and striker Connor Wickham were both unable to explain.
"It's devastation. I don't think that there are going to be any players that are proud of what we have done," Wickham told Sky Sports News.
"We have let our country down, but ultimately we have let ourselves down. Coming into the tournament we had a lot of confidence and we had strength in numbers. Clearly when it came down to it we weren't good enough."
Goalkeeper Jack Butland was also left confused by England's under performance.
"We're embarrassed we haven't done ourselves justice," Butland told Sky Sports News.
"We know we are lot better than this but we can't keep saying that. We have not proved it and we can only wonder why.
"We wanted this. It's difficult to understand what went wrong we just seemed flat and not ourselves which is difficult to understand."
Finally, Wilfried Zaha insisted that the side would improve in their next tournament.
"For me it's my first tournament so it was a different environment. Perhaps we didn't expect the quality. I think we will be more prepared."