The regular spot-kick taker for his club, Vardy was not one of England's selected five at Spartak Stadium after suffering a groin injury.
He sat out training on Thursday and, although he emerged in heavy rain alongside a full squad ahead of England's journey to Samara for Saturday's match, Vardy continued his rehabilitation away from the main group.
The 31-year-old has played 25 times for his country and has scored seven goals.
There are no other fitness concerns for Southgate, with Ashley Young, Kyle Walker, Dele Alli and captain Harry Kane all recovered from knocks and cramp sustained during the bruising last-16 encounter.
Fabian Delph is back with the squad after returning home for the birth of his third child.