Boro are one step away from walking out at the world's most famous stadium as they prepare for Sunday's FA Cup quarter-final against Cardiff.
In every round so far, the Teessiders have avoided Barclays Premier League opposition, arguably giving them an easier ride than their remaining rivals for the trophy.
But manager Southgate said: "I don't think we should apologise for being in the position that we're in.
"We've had draws that have been tough in their own way.
"It doesn't matter what division the team you're playing against is in, they can still provide you with a very tough test.
"We've overcome the hurdles that have been put in front of us; we've got another one that's equally as difficult."
Boro certainly made hard work of dispatching Sheffield United in the previous round, with only a goalkeeping error from Paddy Kenny separating the sides after extra-time of a replay.
Striker Mido insists there is more pressure playing lower-league opponents and warned of the threat Coca-Cola Championship Cardiff will pose tomorrow.
"That's always going to put more pressure on us," he said.
"We need to respect them. We know they have got some quality players, especially up front. They have got some players who can finish games.
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