England are expected to maintain their perfect start to Euro 2020 qualifying when they face Kosovo, the world's 120th-ranked team, at St Mary's on Wednesday morning (AEST).
Southgate's men have scored 14 goals in their three Group A games after beating Bulgaria 4-0 last time out.
England are undefeated in 42 European Championship and World Cup qualifiers, a run dating back to a 1-0 loss to Ukraine in October 2009.
Not every heavyweight has enjoyed that level of comfort, with Netherlands and Italy missing last year's World Cup in Russia, but the Three Lions boss feels such shocks will become a thing of the past.
"If I look across Europe in general, you'd have to say there isn't enough jeopardy in the qualification process to make all of the groups as exciting as they could be," Southgate said ahead of the Kosovo clash.
"We saw the difference that the Nations League presented in terms of excitement for fans and the thrill of that.
"I'm taking [Tuesday's] game out of the equation, because I think it will be an enjoyable game, the way they play, the way they press, the passion and enthusiasm they've got.
"But in general, I think we have to be careful that we don't devalue [the main tournament]. It's hard because there are so many new countries now and so many countries to involve in the process, but we've got to do the right thing for the supporters as well. I think you have to maintain the highest possible quality."
The European Championships grew from 16 teams to 24 in 2016, while the World Cup will expand from 32 to 48 in 2026.
Southgate added: "I think the big thing is the number of teams that get to the finals and I understand wanting to open that up to more.
"But I just think if I'm looking at it from a football development point of view or an appeal for everybody else, then I would question whether it's the right thing."