Three Lions boss Roy Hodgson faces a tough choice when it comes to deciding who will join Leighton Baines in the 23-man squad heading to Brazil.
Cole has struggled to get into the Chelsea team this campaign but, while Wednesday's friendly against Denmark was his first outing in five weeks, he produced an impressive display at Wembley.
It was the 33-year-old's 107th appearance for England and one which was ended at half-time by the introduction of debutant Shaw, who seamlessly slotted in at left-back as Hodgson's men secured a 1-0 win.
The teenager is seen by many as Cole's long-term successor for England - and perhaps even Chelsea. But the experienced full-back showed no signs of bitterness - something of a relief to the boyhood Blues fan.
"He was very supportive and before I came on at half-time he came up to me, gave me a tap on the head and said 'enjoy this experience and have fun'," Shaw said.
"Ashley has always been like that. He is always going to support whoever is playing in his position and it was great for me to hear that from such a big superstar like Ash.
"As a kid, I watched him a lot because obviously I went to the games and to hear that from him was great."
Shaw did not get to speak too much to Cole but was quick to thank him, Frank Lampard and Steven Gerrard for helping him during his first senior call-up.
The teenager was also thankful for the support of his Southampton team-mates Adam Lallana, Rickie Lambert and Jay Rodriguez in what was a whirlwind week.
"It has been overwhelming and I don't want to stop here," Shaw said.
"I want to keep pushing myself, get better and I think Southampton know that as well. They are only going to push me harder.
"It still feels weird. The other day I was saying two years ago I was watching them on TV, so to be on the same pitch as them was a dream come true."
Despite the fact he could soon be playing at the World Cup, Shaw is more like your average 18-year-old than a Premier League footballer - highlighted by the fact that he dropped in on his former school less than 24 hours after his England debut.
"I went on Thursday after training," he said of the visit to Rydens in Hersham, Surrey.
"They were made up for me and some of the teachers were crying.
"It was great to see them and some of the little kids there that wanted to meet me because I had been to the school. It was great to meet them."
One of the first people on the phone to Shaw after his England debut was Crystal Palace's Jason Puncheon. The pair grew close during the winger's time at St Mary's and they swapped shirts after Saturday's match.
"He's my good friend," Puncheon said. "I've got his, he's got mine.
"It's great. I've seen that young kid grow into a man and what he did on Wednesday was a great achievement. The way he played was like a man in an 18-year-old's body."
Puncheon backed his former club to make a late charge at Europe after the match in which his weak back-header put Rodriguez through to score the decisive goal.
"I'm disappointed for myself for the mistake I made on the halfway line, but that's football," he said. "There were other things we could have done to win the game but we didn't. We've got 10 games left and we have got to get points.
"Sometimes you have got to be honest with yourself because if you can't be honest with yourself then you are never going to get nowhere.
"The ball came and I didn't actually see Jay to my right. I headed it and when I saw him I tried to recover. I nearly got there but I didn't."