Capped 134 times for his country, Given experienced both joy and despair in the World Cup playoffs.
He was part of the Ireland team that beat Iran to book a place at the 2002 finals, but also suffered heartbreak when Thierry Henry's handball in the lead-up to a France goal ended their 2010 World Cup dream in Paris.
The former Newcastle United and Manchester City keeper believes there is little to separate Ireland, who came second to Serbia in their qualifying group, and Denmark, who were runners-up to Poland, and that dealing with the mental aspect of the tie will be important.
"The pressure is a good thing. They are so important, these games, there's pressure and there are nerves, but I always used to play at my best in these big games," said Given, ahead of Saturday's opening leg in Copenhagen.
"All players deal with pressure differently. Some can go the other way and be totally relaxed, and that's not ideal either. I think that's (manager) Martin O'Neill's and (assistant) Roy Keane's job in the next couple of days, getting them focussed," Given, 41, added.
Given, who recounts his career in his new autobiography, "Shay: Any Given Saturday", was first capped against Russia in 1996.
CAREER HIGHLIGHT
He played for Ireland for 20 years before bringing the curtain down on his international career after four games as an unused substitute at Euro 2016.
He is still close to many members of the current squad and says playing at the World Cup was the highlight of his career.
"It'll be the highlight of their career as well if they get there," he said.
Despite chilly autumn temperatures, Copenhagen's Parken stadium will be transformed into a cauldron when the two sides meet in the first leg and Given advises his former team mates not to be overawed by the occasion. The return leg will be in Dublin on Tuesday.
"Enjoy it, go out and show the world that you're the best - the best goalkeeper, the best left back, whatever. Try not to let the occasion pass you by," he said.
"You need to take it all in and try and use it as a positive, and go on to that pitch and know that the whole country is behind you."
Given, who spent 12 years at Newcastle before joining Manchester City in 2009, has more recently had spells at Aston Villa, Middlesbrough and Stoke City.
Although he is currently without a club, he says he has not retired from the game and is waiting for a suitable offer.
"I don't want to go to a club and just get paid, pick up the money. I feel like I want to go somewhere and offer something," he said.
(Reporting by Philip O'Connor; Editing by Toby Davis)
