England have been eliminated on penalties at the World Cup in 1990, 1998 and 2006 and also fell in shootouts at the European Championship in 1996, 2004 and 2012.
Gerrard scored as England went out to Italy at Euro 2012, but saw a penalty saved in 2006 when his side were beaten by Portugal in the World Cup quarter-finals in Germany.
Penalty shootouts have become something of a national obsession in England, but Gerrard says that he and his team-mates cannot afford to become obsessed by them.
“It’s difficult to describe what it is like,” Gerrard told BBC Radio 5 Live from Miami, where he is taking part in a pre-tournament training camp.
“Unfortunately for me, I failed in that situation when I took a penalty in a World Cup environment and it was a difficult atmosphere to be in.
“I learnt my lessons from that and a couple of years ago I scored the penalty I was asked to take. We are going to practise penalties a lot, but it is a difficult situation to put into words and describe it.
“There is a lot of pressure. You have an awful lot more time to think about your penalty and what is at stake is a lot bigger and it is a pressure situation.
“A penalty shoot-out is a more pressurised situation than any one penalty in a league game.”
He added: “I can understand the fixation because we have failed in quite a few shoot-outs, but I would say don’t get carried away with it because it might never come about.
“As players, hopefully we perform well enough in 90 minutes or 120 minutes to prevent it going to a shoot-out. But we will be ready for a shoot-out if it comes around.”