The Southampton captain came off the bench in the 59th minute to replace Jack Wilshere with the game goalless.
But a moment of magic from Lallana - who cut past his man on the left and floated a superb ball to the back post for Daniel Sturridge to nod home - turned the game decisively in England's favour with eight minutes left, the hosts seeing the game out to win 1-0.
The friendly with Denmark was the last chance to make an impact on the international stage before Roy Hodgson names his 23-man squad for the World Cup.
"I'm delighted, most of all really because last time out we had two defeats, against Chile and Germany, so it was great to be involved in a winning England display," Lallana said.
"I just gave my best and that's all you can do, as everyone else does. We know it's the last time that we meet up before he names his 30-man squad at the end of the season.
"There's still 10 really important club games, not just for ourselves, but for our clubs as well, so I'll be concentrating on that now.
"Getting back to the club, keeping fit, in good form, and hopefully get three points at Palace at the weekend."
Lallana says he now feels part of the England set-up: "Yeah, I feel that I know the lads a bit more. Playing with them is only going to help. Nothing's guaranteed. It's been proven over the last couple of years that's the case.
"If anything, I've got to work even harder now, as (Luke) Shawy has, Jay-Rod (Jay Rodriguez) and Rickie (Lambert), and we'll see what happens at the end of the season."
Rodriguez and Lambert remained on the bench with Lallana and teenage left-back Shaw the only Southampton players given game time.
The latter, only 18, looked at home immediately after coming on at half-time in place of his boyhood idol Ashley Cole.
His performance gives boss Roy Hodgson a selection headache - with Leighton Baines all-but certain to travel, it is a straight choice between the vastly experienced Cole and the youthful exuberance of Shaw as the second left-back.
"He's been absolutely tremendous," Lallana said of his teenage team-mate. "It was there for everyone to see how relaxed and calm he was, how level-headed and how comfortable he looked out there.
"But he knows he's got a lot of work to do again. There's two hugely-talented experienced players ahead of him, and they were great with him this week in making him settle, and it was a special evening for him.
"He's taken to it extremely well. He was nervous, but then again I was nervous and it was my third cap and I'm 25 and he's 18.
"So he's got every right to be excited, be nervous, all the emotions that happen when you're representing your country and especially at his age."