England currently sit bottom of Group D after losing their first two games to Italy and Uruguay and now will play Costa Rica knowing that they will be heading back to England no matter what the score is.
Expectations were high going into this World Cup as Roy Hodgson picked a youthful team that had the potential to cause teams problems, but things didn't go to plan.
Lambert played his first World Cup finals match against Uruguay in the 2-1 defeat on Thursday and now hopes he will play again against Costa Rica.
The 32-year-old who never imagined he would play at the World Cup with England admits the team are really disappointed but they will try their best to go out with a bang and beat Costa Rica.
Lambert said, according to the Mail Online: "It’s a difficult scenario to be in, everyone’s disappointed about what’s happened and the fact that we’ve got one more game left.
"But we’ve got to be professional and we’ve got to give our best and get three points to finish on a high against Costa Rica.
"It’s been the best experience of my career and probably the worst experience at the same time.
"It’s always difficult being an England fan and getting knocked out, but this time being involved is devastating to get knocked out at an early stage.
"It was probably the worst moment of my career when the final whistle went and we were knocked out of the World Cup.
'It was horrible. Maybe I might look back in years to come and think 'I’ve played in a World Cup', that will live with me forever. But I can’t remember any moments that are as bad as that."
Lambert also believes Hodgson should stay as the manager of England and supports his view that the young players in the squad should be given a chance.
He also admits the experience of this World Cup will help improve the players for the Euro's in France in 2016.
"One thing is very important - we don’t make any knee-jerk decisions.
"I think the set-up we have, the manager who is in charge is definitely the person we need to go forward with the group of young kids coming through.
"The progression they have had under Roy has been amazing, so if he can keep the group together for another two years it’s going to be exciting and they are going to learn after what has just happened.
"Roy has given the young players a chance and they have thrived on it.
"That’s definitely one of the positives we’ll take out of the World Cup and when the next scenario comes around in the next two years at the Euros, this is going to help them.
"That’s why this set-up needs to stay together."
Lambert will be trying to make the Euro 2016 squad but it is unlikely due to his age that he will play, although he will play a part in qualifying.
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