Gareth Southgate's side head into their opening match in Volgograd on Monday in good form, having gone 10 matches without defeat since a 3-2 friendly loss to France last June.
A relatively low level of expectations among supporters, coupled with a strong sense of unity within the camp, has also helped to create a quiet optimism around an England side who were knocked out of Euro 2016 by Iceland.
Midfielder Jordan Henderson has previously said they should take inspiration from Leicester, who stunned the football world by winning the top-flight title two years ago.
And Vardy, a crucial part of that famous triumph, can see similarities between his club side and the national team set-up.
"We were exactly the same, very close, always wanting to do things together and having a laugh and a joke at training," he said.
"But then, once we stepped over the white line, it was a different story. It has got the same environment and attitude from all the lads.
"We are all confident. We have all got that mentality where you just want to win. We want to make sure we are here as winners. We have all won things ourselves at our respective clubs and we want to take that on to the international stage now.
"We all know that, on our day, we can beat anyone and cause anyone problems, so that is why we have got the confidence to think we can win it.
"We have definitely got the momentum going into it. Mood-wise, it feels like the excitement is building. Nobody is keeping themselves to themselves, everybody is doing stuff together. Everybody is having a laugh. It doesn't matter what we are doing, we are doing it as a group. That is how it should be, to my mind. I think that when you are enjoying it more, you play your best football."
Vardy is likely to play a back-up role to main striker Harry Kane in Southgate's system, but the 31-year-old is determined to give his boss a difficult decision when it comes to his line-up.
"We all know we are a 23-man squad and we are all here for a reason," he added. "The gaffer has picked us because he thinks we are the best the country has got. So, we are all here with the same mentality, all wanting to win, all wanting to play. Unfortunately, you cannot have that all of the time – you can only have 11 players on the pitch.
"You just have to make sure you put in the pressure on the training field and, if you get given a chance, take it."