Captain Harry Kane said England would use their defeat by France to be "mentally and physically stronger for the next challenge" as they headed home from the World Cup in Qatar.
England were beaten 2-1 in the quarter-finals, with Kane missing an 84th-minute penalty, having earlier equalled England's scoring record of 53 goals.
Gareth Southgate's side left their hotel in Al Wakrah before their flight home.
"Absolutely gutted," said Kane.
Writing on social media, the Tottenham forward added: "We've given it everything and it's come down to a small detail which I take responsibility for. There's no hiding from it, it hurts and it'll take some time to get over it but that's part of sport.
"Now it's about using the experience to be mentally and physically stronger for the next challenge. Thanks for all the support throughout the tournament - it means a lot."
Speaking about Kane's penalty miss, former England striker Alan Shearer told BBC Radio 5 Live: "That's the life of a centre-forward. You put yourself in those positions and it will haunt Harry for the rest of his life."
England departed their hotel in Qatar at about 12:30pm local time and are expected to land in the UK later on Sunday.
Players waved to fans gathered outside the hotel as they boarded a coach, with midfielder Jude Bellingham taking the time to sign memorabilia.
'Southgate has been amazing'
England centre-back Harry Maguire echoed his captain's words, and also paid special tribute to Southgate, who has said he will "review and reflect" on his side's exit with the Football Association before making a decision on his future.
Southgate, who has been England manager since 2016, has a contract that runs until the Euro 2024 finals.
"Last night hurt. Absolutely gutted. Special thanks to Gareth and you amazing fans who kept belief in me. I love my country and I hope we made you proud," said Maguire on social media.
Under Southgate, England reached the 2018 World Cup semi-finals and the Euro 2020 final before their elimination by the defending champions in Qatar.
"Gareth has been amazing with myself, amazing with every player in the team," Maguire said in an interview.
"I'm sure if you asked every player in the team they wouldn't be able to speak highly enough of him, his man-management, the way that this team has been built and developed over a period of time.
"Over the last five or six years with Gareth in charge you can really see the development. I know being an England manager is so tough, they get every decision they make scrutinised, every squad they make, 'he should be in' or 'he shouldn't be in'. Every team he picks, 'he should play' or 'he shouldn't play'... that is being an England manager.
"He knows how to handle it. He handles everything really well and tactically he gets all the big decisions right and he has proven that again this tournament."
Southgate was also backed by midfielder Declan Rice, who said he hoped his manager continued in the job.
"If you guys could come in and see how well everyone's been on it, you would have thought we would have gone the whole way as a collective but for me, personally, I hope he stays," he said.
"Obviously, I don't know. There's a lot of talk around that. I think he's been brilliant for us. I think there's a lot of criticism that's not deserved. I think he's taken us so, so far. Further than what people can expect.
"He got everything spot on again, it's not on him. It's not on him at all - the tactics were right, we played the right way.
"I really hope he stays because the core group that we've got and what he's made for us, it's so special to be a part of. I love playing under him and I love playing for England."
'We will come again'
Marcus Rashford was among a host of England players who posted on social media on Sunday, with the Manchester United forward promising that the Three Lions "will come again".
Rashford was England's joint top scorer with Bukayo Saka in Qatar, scoring three goals.
"The last few weeks have been a rollercoaster of emotions, each and every one of our team gave everything we had to be ready for what was thrown at us, we got close, but not close enough," he said.
"I'll make a promise that we will come again."
Midfielder Jordan Henderson said it was a "tough one to take", adding "sometimes football isn't fair".
Earlier, FA chief executive Mark Bullingham said the team was "hurting" after the last-eight defeat.
"Like all England fans we feel the pain of losing a quarter-final, along with the coaches, players and support team who are hurting this morning," he said in a statement.
"Gareth and Steve [Holland] prepared the team exceptionally well throughout the tournament. The players were committed to winning the trophy and were very well led by Harry Kane.
"But sport can have fine margins and on the day, against the current world champions, it was not to be.
"This is a very exciting young English squad and, despite the intense disappointment of last night, they should be very proud of their performances in Qatar.
"We are incredibly proud of Gareth, the players, the coaches and the support team and appreciate all the hard work they put in."
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