The 32-year-old striker made his debut in the competition against Uruguay but moments later saw his country knocked out
England fell short of expectations by failing to qualify for the knockout rounds after succumbing to defeats against Italy and Uruguay, and now take on table-toppers Costa Rica in their final game.
The 32-year-old made his World Cup debut as an 87th minute substitute against Los Charruas but failed to rescue a draw, and branded the experience both the best and worst point of his career.
"It's been the best experience of my career and probably the worst experience at the same time," he told the FA’s official website while at England’s team hotel in Rio de Janeiro.
"It's always difficult being an England fan and getting knocked out, but this time, being involved, [it] 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."
Roy Hodgson’s position as manager has come under scrutiny after failing to qualify England from the group stages for the first time since 1958, yet Lambert has insisted he should remain in charge.
"One thing is very important - we don't make any knee-jerk decisions," he said. "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."