The Leicester forward remained on the bench during the opening win against Tunisia, where he saw Harry Kane score twice to rescue a win for England.
"It's not annoying at all [watching fellow striker Kane scoring twice]. At the end of the day we are all here for one reason and that is to keep winning as many games as possible," Vardy said.
"You've just got to keep going and make sure you are putting in the effort on the training field and then getting into the gaffer's plans - hopefully get your chance - and then making sure you stay there.
"The gaffer has said that everyone who is here in the 23-man squad is going to be needed at some point, so you've obviously just got to stay focused and put the effort in and hopefully get your chance and that's when you have got to make sure it counts."
Vardy went on to mention the positive atmosphere surrounding the England camp at the moment - something Southgate has made an effort to cultivate.
"Hopefully it will continue that way but you can see how we all are," he added.
"Everyone is relaxed, everyone is in a good mood. We're all having a laugh and a joke and to be honest with you that is how it should be.
"I think that just shows how we all are and how the setup is. Even at our hotel everyone is so relaxed, everyone is in a good place. We know that when it comes to training for games it is 110 per cent commitment but we know we can chill out and have a bit of fun."