Shaw and Lallana – along with Rickie Lambert and Jay Rodriguez – had been named on an 18-man bench for what is the final friendly before Roy Hodgson selected his preliminary squad for this summer’s World Cup finals.
But both players were handed their opportunities in the second half, and certainly left with credit as Shaw put in an accomplished showing while Lallana crossed for Daniel Sturridge to head in the 81st-minute winner.
Lallana looked set to win his third cap as early as the 12th minute, when he was hastily dispatched to warm up following an early injury to Jack Wilshere.
However, the Arsenal man was fine to carry on as England dominated the first half without finding a way past Leicester City’s Kasper Schmeichel in Denmark goal.
The Three Lions’ best chance fell to Liverpool’s Raheem Sterling two minutes before the break when he connected with Ashley Cole’s low cross only to see the ball rebound off the post.
Shaw was then introduced at the break, replacing Chelsea left-back Cole, and immediately set about producing the type of performance Saints fans are used to seeing from the youngster.
Lallana joined his clubmate on the field after 58 minutes when he did at last replace Wilshere.
The Southampton duo combined well on the hour mark, with Lallana taking up possession after Shaw’s cross had been blocked before pulling off a neat turn only to see his low delivery gathered by Schmeichel.
A third product of the Saints Academy, Alex Oxlade-Chamberlain, joined the pair on the field after 73 minutes just before Lallana really came to life.
With a quarter-of-an-hour to go, the 25-year-old sent a dangerous ball across goal that had to be frantically cleared behind by a Danish defender.
From the resultant corner, Welbeck played a one-two with the Saints man before seeing his fierce drive tipped over by the Denmark ‘keeper.
The breakthrough arrived on 81 minutes when Lallana took up possession in a wide position before drifting over a left-footed cross for Liverpool striker Welbeck to expertly head home.
Hogdson used up the last of his six permitted substitutions by the end of the game, meaning Lambert and Rodriguez did not make it onto the field.
Nevertheless, the impact made by both Shaw and Lallana made for a proud occasions for those connected with Southampton Football Club – and surely strengthened the duo’s cases for a ticket to this summer’s World Cup.
England team: Joe Hart, Glen Johnson, Gary Cahill, Chris Smalling, Ashley Cole (Luke Shaw 46), Steven Gerrard (c), Jack Wilshere (Adam Lallana 58), Jordan Henderson, Daniel Sturridge (James Milner 88), Raheem Sterling (Andros Townsend 86), Wayne Rooney (Danny Welbeck 59). Unused substitutes: Ben Foster, John Ruddy, Fraser Forster (GKs), Leighton Baines, Steven Caulker, Michael Carrick, Frank Lampard, Ross Barkley, Tom Cleverley, Rickie Lambert, Jermaine Defoe, Jay Rodriguez.
Goal: Sturridge (81)