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.
Daniel Sturridge's late header proved the difference in a hard-fought 1-0 victory, with the decisive goal coming after a moment of skill from Lallana.
On as a 59th substitute for Jack Wilshere, the Saints captain cut past his man on the left and floated a delicate ball to the back post for Sturridge to head home.
It capped another impressive display by Lallana and gave him a first win in an England shirt, making this a particularly poignant occasion.
"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," he 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."
Asked if he now feels more part of the England team, Lallana added: "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 Shawy has, Jay-Rod (Rodriguez) and Rickie (Lambert), and we'll see what happens at the end of the season."
Rodriguez and Lambert remained on the bench throughout the match with Denmark, with Lallana and Shaw the only Southampton representatives given game time.
The latter, only 18, seamlessly slotted into the England defence on his debut and provided an attacking outlet down the left.
Shaw came on at the break in place of boyhood idol Ashley Cole, whose fine first-half display will give Hodgson a pleasant headache when choosing his squad for Brazil.
"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."