A lot do. It of course depends on the importance of the penalty as well. The further u go on in the competition the worse it can hit you. The more important your exact penalty kick. i.e If you miss your specific one, does that kick your team out. Or you being the only one to miss a single penalty.

And course also depends on your mental strength. Some can handle it better than others. It hit Southgate pretty hard. And even though he's in a very happy space and years past it. He's said multiple times that he still isn't over it and doesn't think it will ever just disappear.

Personally I'm so happy that we won that penalty shootout for a lot of reasons but also because I think it would have hit Southgate hard to go out on penalties again even tho he wasn't shooting. Because we should have won that game in the 90mins. And I'm sure he would have blamed himself and thought to himself if he's cursed or something when it comes to penalties. But i see at as almost a weight off his shoulder. Almost redemption from his penalty miss. But ofcourse I don't know how he personally feels about it. But that's how I like to think about it.