The Sunderland striker admits England Under-21s have "let the country down" with their dismal display at the European Championship.
The Young Lions came to Israel with much hope and expectation, having won an impressive nine successive matches without conceding a goal.
That run soon came to an abrupt end, though, with defeats to Italy, Norway and Israel sending Stuart Pearce's side home without a point.
The inquest into England's failings is already well under way and Sunderland striker Wickham has apologised for their inept performances.
Connor Wickham: "Devastation.
"I don't think there are any players in there that are going to be proud of what we have put in.
"We have let the country down and we have let ourselves down in the tournament.
"I honestly couldn't tell you (what has gone wrong). I think coming into the tournament we had a lot of confidence.
"We knew we had strength in numbers but obviously when it came down to it we just weren't good enough.
"I think the players that are in the dressing room have more than enough quality to go out and do the job.
"I think when it came down to it, we just didn't step up to the mark.
"For now, it is just back to the club, work as hard as I can and try to get into that team.
"Now obviously there is nothing we can do about this tournament - it has gone.
"For me personally, I am looking to the next one, but first and foremost I want to get back into the Sunderland team and starting to play football again."