The 18-year-old was picked ahead of Ashley Cole after a breakthrough season on the south coast, although he feared his chance had gone when Cole - who won 107 caps for England before his international retirement - finished the season well with Chelsea.
"I was very surprised," he said. "With Ashley Cole not playing many games I thought I may be in with a chance. But I think he played the last three games in the season and he played incredibly well.
"It made me think that maybe this is not my time, but obviously I saw I was announced in the squad and it was the best feeling in the world.
"I was sitting there with my family and friends and we were just all so proud that I'm only 18 and involved in a World Cup."
Shaw was one of three Southampton players to make England's 23 alongside striker Rickie Lambert and winger Adam Lallana, but still didn't believe he would be on the plane when Cole tweeted he was retiring from international retirement before Hodgson named his squad.
"We were waiting for the call at the end of the season party, so I was with Lambert, but the call never came," he added.
"I found out that Cole wasn't in it because he tweeted to say that he was retiring, but I didn't think I had because there was still the likes of Kieran Gibbs.
"I had to wait until the next morning."
Shaw is likely to be back-up to Everton's Leighton Baines at left-back in Brazil, but says he will be ready if called upon by Hodgson.
"I don't really feel pressure. I just focus on my own game. I have come here to help the England team and I will do everything I can.
"You never know what may happen. Leighton Baines may play in the first game for the first 10 minutes, pick up an injury and I could be in.
"I am never going to go to a tournament thinking I am not playing because if something like that does happen, I have got to be ready.
"I feel ready if Leighton does pick up an injury. I don't think Roy would have picked me if he didn't think that."