The Manchester United defender has been in fine form all season, but was concerned that his season would end in disappointment after being sent to see a specialist by his club.
Shaw has been sporting a wrist strapping in recent weeks, but has been training with England after his initial worries were calmed.
“I’ve just ruptured the ligaments across the top of my wrist. It is not too bad, not a break – just the ligaments," Shaw told TalkSPORT.
“[I was] a little bit [worried] at one point because when I was getting treatment at the club, obviously I had an MRI scan and what-not.
“The doc had a look at it and couldn’t see the problem where the main ligament was, so he had to send it to a specialist.
“I was a little bit worried, because I thought, maybe if it is the bad one then maybe I might have to have an operation or something.
“He didn’t say anything and I was a little bit panicky, but then obviously the next morning I’ve got the results and it wasn’t as bad as they thought so I was fine.”
Despite being fit, Shaw was overlooked by Southgate for the opening game against Croatia with Kieran Trippier - naturally a right-back - preferred over both Shaw and Chelsea's Ben Chilwell.
“We found out the day before the game. We had a meeting in the morning and he (Southgate) obviously named the team,” said Shaw.
“Of course, I think, not just mine, but anyone has initial thoughts when they’re not playing in a game that everyone wants to play in – it is obviously disappointing.
“But even if you’re not playing, I think we’ve still got a role in the team to train well, train properly and get the lads ready for a very big game and do whatever is necessary to play my part in getting them ready for that.
“I was obviously disappointed, but Gareth has 11 players he needs to pick and all I can do is train well, train hard and see what Gareth does in the next game.
“But that’s the only thing I can do, keep smiling, keep enjoying it and do whatever I can to help the team, whether I am playing or not.”