The 29-year-old striker, who won the competition with Chelsea in 2012, has endured plenty of heartbreak at the club: from narrowly missing out on two Premier League titles to losing three cup finals – scoring in the Europa League final in 2016 – before success in Madrid.
Some players tried to block out the pain of failure but Sturridge, who scored the opening goal in the 3-2 win over Paris St Germain in September, embraced it.
The difference is that the heartache never goes away: you always think about it,” said the striker, who refused to talk about his future with his contract expiring this month.
“People were saying ‘if we win we won’t think about it’ but you do. You always think ‘what if? What could we have done differently, how can we prepare differently?’.
“There are so many different questions that you ask yourself. All the things when you lost, you take them into a game because you’ve learnt from them: all the pain, all the heartache you had prior to that.
“I feel like it has been an incredible time and I am not going to talk about next season or anything.
“What’s important now is celebrating something so momentous, something we were striving for, working for for a long time. To finally win something is amazing.
“It’s my second time (winning the Champions League). It’s almost similar. The one with Chelsea was the first in the club’s history and this is the first under this manager, so it’s a similar kind of feeling.
“Once you win one, you hope the floodgates open and you continue winning. It’s that culture of getting over the finishing line.”
Key to that success is the camaraderie and team ethic manager Jurgen Klopp has engendered over three and a half years.
Sturridge said every player was prepared to sacrifice themselves for the good of the team.
“The belief in the group, the togetherness, there’s no egos, there’s banter,” he added.
“I contributed – even the players who haven’t played a minute.
“There are guys who have been on the bench and haven’t played a single minute but they have been a part of it.
“From training, to acting like the opposition that we have been playing against, to doing a job, to sacrificing themselves and the way that they play just to train to do a job on the training field to help them prepare themselves the best way that they can. It’s amazing.”
Sturridge has never been short of confidence but even he admits there were times when they had doubts about winning a major trophy again.
It was why captain Jordan Henderson sat the squad down on Wednesday to talk through scenarios past and future.
“We have got so close so many times, we felt as if ‘are we ever going to win a trophy?’” he added.
“So, to lift silverware is what you work for every day as a group of players and it’s a beautiful feeling.”
Sturridge said their preparation was spot-on this time, including that players’ meeting.
“We haven’t had those conversations before and I feel like maybe before the Europa League final we didn’t prepare as well,” said.
“Last season, we said ‘we didn’t prepare well the season before and we have learnt’.
“This year we have had two finals now, so you have learned so much more. I think that’s what makes teams so successful. They have experienced it.
“There is a difference between experiencing losses and experiencing wins.
“When you win there is elation and you don’t look at mistakes so much. When you lose you think about anything and everything you could have done right and what you did wrong and you learn from that.”