The 18-year-old Shaw is in line to be handed his first cap as Roy Hodgson looks to finalise plans for who will make his 23-man World Cup squad.
The Saints left-back has enjoyed a good season to date and Lallana has backed Shaw to take to international football with similar ease.
"I'm not surprised at all," he said when asked about Shaw's involvement.
"He has been an outstanding for us all season. He looks like a seasoned pro and it was no surprise to see he was included in the squad.
"There are two outstanding players ahead of him [Ashley Cole and Leighton Baines] but he will keep his feet on the ground.
"He knows he is going to learn off them and if he watches them closely in training he knows it is going to do him good."
Lambert was the first of the quartet to break into Hodgson's squad and Lallana revealed the striker's inclusion gave Southampton's other English talent renewed hope of making the grade.
"Seeing Rickie being involved gave everyone an extra 10 per cent of belief," he said.
"We have had a good season at Southampton, been performing well on a consistent basis and we have all been helping each other.
"It is brilliant, it proves how far the club has come and to have four lads representing the country this week is fantastic."