The Manchester City skipper has an English wife, Carla, and had hoped Roy Hodgson's side would progress. Kompany said: "I like to believe my kids are Belgian, but my wife thinks thinks they are English, too.
"The English players that I have as friends I have a lot of respect and I wanted them to have a good competition and I'm very saddened about their exit of England."
The 28-year-old, who has had treatment for a groin strain last week following the 2-1 win over Algeria, is feeling "good" and relishing the prospect of playing in the Maracana.
He added: "I have played in a lot of the big stadiums in Europe and the most mythical stadiums in the world are Wembley and Maracana so this is something very special. To face off against Russia there will be really special, it was one of my boyhood dreams coming true just to walk on that sacred pitch and it will be very special -and not just for the Belgian players."
Belgium's first match brought some flak over a lack of style, but Kompany said the players are concentrating only on getting out of the group.
He said: "We are not going to prove ourselves by style, only results. How have Spain, England, Italy, even Brazil got on? Countries have to focus on getting through the group stage.
"I have come here for one reason and one reason alone, and that's getting great results. We are playing for our country and we are proud to do it."
Kompany also tried to ease the burden of expectation on Romelu Lukaku, Belgium's main striker in the absence of the injured Christian Benteke, who struggled to impose himself against Algeria.
"He has a tremendous amount of talent, but for us it's about not putting pressure on a 21 year old to do it for us at a World Cup, a lot of other people will take the responsibility," he said. "He probably has two or more World Cups so there is no pressure on his shoulders."
Belgium coach Marc Wilmots is expecting a tactical battle against his Russia counterpart Fabio Capello.
He said: "Capello has a great track record at some great clubs and we will see what his approach is on the pitch.
"We saw Russia play Korea in quite a rigid formation but we will wait to see against us. The most important thing for us is we have to shut down space."
Capello claimed there was "a little bit of injustice" surrounding England's early departure. The Italian, who resigned as England manager in 2012, added that, although the shortage of England players in the Premier League was an issue, he believes young players are coming through.
He added: "About problems in Premier League, I spoke often about this problem - to have only 32 per cent of English players there is not a lot but I think England have some really good young players."