Supporters chanted "It's Coming Home" as the squad boarded the Wembley-bound team bus to face Italy in an historic match.
The players, wearing masks, waved to huge crowds gathered outside the Hertfordshire hotel where they stayed on Saturday night in preparation for the crunch game.
Victory for England would mark the men's football team's first major tournament win since the 1966 World Cup success, which also took place at Wembley.
Excitement has been growing across the nation, with support for the Three Lions coming from the Queen, the Duke of Cambridge, the Prime Minister and even Hollywood star Tom Cruise.
Earlier team manager Gareth Southgate thanked fans for their "incredible support" throughout the tournament, which has seen the England team reach its first major final in more than half a century.
In a video message on the official England football Twitter account, Southgate, who has been praised for his leadership of the team, said the fans' support has given them a "huge lift".
He said: "We hope that you've enjoyed watching us play.
"I'm very grateful to all of the players and the incredible staff I've got with me, that we've been able to get to our first final for 55 years.
"But of course we know now we've got to deliver for you, so we'll be doing everything we can.
"Your support and energy has given us a huge lift, and I know it will on Sunday."
The Queen paid tribute to the "spirit, commitment and pride" of the squad, while her grandson William, who is president of the Football Association, said it is "so exciting" to get to this point.
Fans were in party mode as they arrived outside the famous London stadium several hours before kick-off on Sunday, proudly sporting the team colours and draped in England flags.
Some boisterous supporters even climbed on top of a bus outside the grounds, while others outside King's Cross station in the capital let off red and white smoke during the celebratory build-up.
With the game on home turf, England's fans are expected to outnumber those cheering for Italy among the 60,000-strong crowd.
Although tickets quickly sold out, a category A seat did became available around 2pm for 945 euro, around £807, and was snapped up almost immediately.
Lovers of both music and football enjoyed a live rendition of the anthemic Three Lions (Football's Coming Home) at the 229 venue in central London, with World Cup winner Sir Geoff Hurst introducing comedians Frank Skinner and David Baddiel alongside The Lightning Seeds as an ecstatic crowd screamed and jumped along to the tune.
In her written message to the team, the Queen, who presented the Jules Rimet trophy to the 1966 World Cup winners, said: "I want to send my congratulations and that of my family to you all on reaching the final of the European Championships, and send my good wishes for tomorrow with the hope that history will record not only your success but also the spirit, commitment and pride with which you have conducted yourselves."
In a video message William, who will be at the match, said: "I can't really believe this is happening.
"So exciting and I just wish you the very best of luck.
"You bring out the very best of England and we are all behind you.
"The whole country is behind you. So, bring it home."
Echoing that sentiment in his letter to the team, Boris Johnson said: "You have lifted the spirits of the whole country, and tomorrow we know you can lift that trophy too.
"We are not just hoping or praying.
"We believe in you, Gareth, and your incredible squad."
Captain Harry Kane said the team hopes to do the nation proud when they take to the pitch.
Speaking at a press conference on Saturday evening, he said: "We know how much it means to the English fans all over the country so we're proud to be representing them and hopefully we can do them proud again."
Southgate has appealed to England's supporters to "respect the opposition", after booing could be heard during other teams' anthems at previous matches.
He has previously spoken of his pride in the nation's history, and his squad's role in driving "tolerance and inclusion" in modern England, as he rallied fans across the nation.
Under his management, the team have been hailed for their social conscience which has seen squad members saluted for taking the knee against racism, making a stand on donating to the NHS, and taking the fight for free school meals to Downing Street.
The Metropolitan Police has said it will be deploying "a great many officers and specialist units to prevent crime and disorder and respond to any incidents right across London".
It is predicted fans will buy more than seven million pints on Sunday alone, and in a welcome boost to the economy, it is estimated some £815 million will have been spent in pubs and hospitality venues by the end of the competition.
Some schools have said they will allow pupils to start later on Monday and some employers are considering letting staff enjoy a celebratory, or consolatory, lie-in after what could be a very late night.
The final, which is expected to attract a record television audience, is due to kick off at 8pm and will finish by 10pm if it ends in normal time, but could end closer to 11pm if there is extra-time or a penalty shootout.
The Met Office said there could be "some rain" during the game.