The Manchester City man has established himself as one of Southgate's first-choice defenders since taking charge of England in September 2016, and the right-back intends to repay the faith the manager has shown in him.
"We have a group chat where there is always banter flying," said Walker. "We're all together in the games room, playing pool, having a laugh and I think it is really bringing the squad together nicely. It feels like club football now."
"When Gareth came in he has put his own stamp on it, he has in his head how he wants it to be and for us it is working," he added. "Now it is just down to us to repay the faith that he has put into us."
In just over a year, Southgate has led the Three Lions to World Cup qualification and the draw will take place in Moscow on Friday. Walker has suggested there will be no easy games in the competition.
"Every team going to a World Cup is going to be decent so you won't get an easy group. On the day, anyone can beat anyone, which we saw at the Euros," said the defender, referring to England's infamous defeat to Iceland at Euro 2016. "We need to build on that experience."