Southgate has told his 23-man squad who will get the nod from kick-off in Volgograd but has not made his XI public.
A jovial Delph refused to give the game away at a Saturday news conference in Repino, even feigning mock surprise over the widespread reports he has not made the cut.
"I do know the team, but he says I'm not allowed to tell you," said the Manchester City utility man, who is expected to see his two most likely routes into the side taken by Jordan Henderson at the base of the midfield and Ashley Young at left wing-back.
"The preparation is still the same. We're a team, it's all about the team and everybody digs in, sticks together and the manager chooses the best team to face the opponent.
"The team is not guaranteed to be the 11 players that we think it might be. It could be changed, but from the set-up we've done it's pretty clear to see who is probably going to be starting."
Much has been made of the relaxed, close atmosphere among Southgate's men – in stark contrast to the recriminations that have followed many of the Three Lions' tournament exits over recent years.
But Delph insists they turn up the heat on one another during training when the time is right.
"We are a close bunch but once training starts it's fiery, it's very spicy," he said. "The intensity is there, and people are not afraid to dig people out.
"Nothing is ever personal. That's what I've found with this squad. If somebody has got something to say, as long as it's constructive criticism, people take it on the chin."
Delph conceded Cristiano Ronaldo's heroics whet their appetite for making a mark on a tournament that has not lacked for drama over its opening days.
"We watched it together, we've got a big screen in the hotel. We were excited because it was a great game," he added, while explaining he and City team-mate David Silva have been in regular contact during Spain's turbulent first week in Russia.
"Ronaldo does what Ronaldo does and it was phenomenal to see what he did. They're two great teams and we're excited for our campaign to start."