Southgate overlooked the Newcastle United pair this week when he named his squad for fixtures against Italy and Holland.
Defender Lascelles has been outstanding for his club this season, while Shelvey was tipped for a recall after impressing in midfield.
They found out that they hadn’t made it after arriving in Spain on Thursday ahead of tomorrow’s friendly against Royal Antwerp.
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Lascelles, 24, said: “I was kind of waiting to see what would happen.
“I thought that I might have had a good chance. I was disappointed when I found out the (England) team.
“Fair play to the boys who have been selected, I wish them all the best. I will keep trying my best for Newcastle.
“That is my main focus, because I need to concentrate on Newcastle, do well in the league, and whatever happens, happens.
“But congratulation to the players that have been selected.”
Benitez believes Lascelles – who represented England at Under-21 level – can make the step-up.
United’s manager also feels that Shelvey – who hasn’t been called up since joining the club in 2016 – can return to the international fold.
While “disappointed” for Lascelles and Shelvey, Benitez acknowledged that their omission will mean he can do more work with them between now and the March 31 home Premier League game against Huddersfield Town.
“I’m disappointed for them, but, at the same time, happy for us,” said Benitez.
“It means we can keep them with us and we can carry on working on the things that we need for the rest of the season.
“Jamaal is a young player, Jonjo has more experience. They have plenty of time.
“If they keep going and get more experience, they have time to go to the national team in future.”
Shelvey – who won six senior caps before joining United – spoke about his England exile last summer.
“If you look at the competition, we’re crying out for a central midfielder for our country, in my opinion,” said the 26-year-old.
“But it’s just a matter of saying the right things in the press, and things like that. That’s what it goes on these days. It’s so fickle, if you like.
“All I can do is just show in my performances that I warrant a place in the England team.”
Meanwhile, Benitez hopes that Antwerp, eighth in the Belgian league, will “test” his team over three 45-minute periods at the Pinatar Arena.
The game was arranged after Tottenham Hotspur’s progression in the FA Cup – and two rounds of internationals – left the club with a 21-day break.
Benitez and his players will return to England after the game.
“We needed a team that could give us something to think about, not just come and play an easy game,” said Benitez. “We will see. It will be a test in defence and a test in attack.”