The Azzurri also suffered group-stage exits in 2010 and 2014, meaning their most recent World Cup knockout tie remains 2006’s final victory over France.
Mancini, however, is determined to end Italy’s World Cup woes when the tournament heads to the U.
He believes their failure to reach Qatar was unjust.
“Winning with the national team is the best thing there can be,” he said at an event in Rome.
“Giving Italians such joy is incredible, (but) now we have to wait four years.
We will aim to win the next World Cup in America.
“We are working, (but) unfortunately we will suffer until December —– the disappointment of not qualifying for the World Cup does not fade.
“It was totally unfair, but the defeats must be faced.
We did not deserve to stay out of the World Cup, but unfortunately that’s how it went.
Asked why he chose to continue as Italy coach following their play-off embarrassment, the former Manchester City boss added: “Honestly, I don’t know.
At that moment, I just wanted to turn the page because it went badly.
“But winning the European Championship brings incredible joy.
Now we have to wait a few years and then we want to try for those emotions again.
And Mancini was keen to emphasise the difficulty of that achievement, adding: “It wasn’t easy, the players put everything in.
“England are a danger to win the World Cup, they have an incredible squad and Hungary are a very physical team.