The Saints skipper suffered defeats against Chile and Germany on his first two appearances for the Three Lions last November.
But his third cap came in winning circumstances as the playmaker impressed as a second-half substitute before setting up Daniel Sturridge’s late winner to see off the Danes.
“I’m delighted,” Lallana said after the game, “most of all because last time out we had two defeats, against Chile and Germany, so it was great to be involved in a winning England display.
“As a footballer you want to win every game. It’s no shame in losing to Chile or Germany – they’re two world class teams, as are Denmark. They’re no mugs at all, and I thought it was an exceptional performance.
“We stayed patient, they didn’t come at us really, so we had to break them down, and I thought it was a truly professional performance from the lads.”
Having started as one of 18 substitutes, Lallana was handed his opportunity to impress just before the hour mark as he replaced Jack Wilshere.
And the Southampton man says he kept it simple as he looks to secure a place in Roy Hodgson’s squad for this summer’s World Cup finals.
“I just gave my best and that’s all you can do, as everyone else does,” he said. “We know it’s the last time that we meet up before he names his 30-man squad at the end of the season.
“He sent out a really strong team and I was just delighted to come on. Hopefully I made an impact and gave the manager some food for thought.
“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 and we’ll see what happens at the end of the season.”