Pickford conceded his first goal of the tournament in Wednesday's 2-1 win over Denmark and looked shaky in his kicking.
Mourinho believes the Everton man looked 'nervous' between the sticks and he needs to 'cool down' ahead of this weekend's huge clash.
When asked if Pickford's performance concerned him at all, the Roma boss replied: "Yeah, absolutely.
"I think he was the only one who showed signs of not being on the top of his game, being nervous.
"That urgency of playing immediately, even when the ball was in his hands he was always in a hurry. I think the guy has to relax, he has to cool down."
The 58-year-old thinks Gareth Southgate should do as much as possible to help Pickford keep his nerves for the biggest game of his career.
Mourinho continued: "He didn't make important mistakes in the competition, he and the team together have reached the final.
"I think between him and the other keepers, the goalkeeper coach and probably Gareth and the other experienced players, they've got to try and relax him.
"Because the most important thing with a goalkeeper is not to make impossible saves, it's not to make the basic mistakes - what we call the silly mistakes.
"If on top of that you can be amazing and make incredible saves, great, but at least don't make mistakes, don't create instability in the team.
"I would say to him, try to relax, keep it simple, if you feel pressure don't try to play from the back, it's better to kick long and he's so good by doing that, it gives the team more time to organise.
"I think the guy has to relax, he has to cool down. The team need to relax him."- talkSPORT :flag_black: (@talkSPORT) July 9, 2021
"Pickford is the only one who showed signs of not being at the top of his game."
José Mourinho says Jordan Pickford must relax ahead of the final of #EURO2020 pic.twitter.com/RXBc5IuWVl
"Don't put players under pressure, don't try to create problems for your own team, don't play difficult passes to players under pressure in a dangerous area of the pitch and try to relax a little bit.
"Because, honestly, he was the player who could give us a little bit of a feeling of being a bit nervous."
Featured Image Credit: PA Images & talkSPORT
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