The defender was taken to the 1998 World Cup - although he did not play in any of England's matches - by Glenn Hoddle as a callow 19-year-old while still at West Ham.
But he found himself jettisoned by Keegan for the 2000 European Championships, with the likes of Sol Campbell, Tony Adams, Gareth Southgate and Martin Keown chosen ahead of him.
He remembers being "devastated" but said he used the experience to turn his life around.
"I was upset, embarrassed, my pride was hurt," said the Manchester United centre-back, who was speaking at Nike's No More Talk event in London on Wednesday.
"But I looked at myself and asked a lot of questions. Was I training hard enough? Was I concentrating fully on football? Was I giving my all to football? Was I going out too much?
"I wanted to be playing for England and for the best team in the world, so I knew I had to work hard.
"I started training in a park near my mum's house before pre-season and the following November I signed for Leeds.
"Theo went to the last World Cup as the protégé, and things haven't panned out for him as people would have expected.
Walcott grabbed a brilliant hat-trick during England's qualification
"I'm sure he'll go away and try to hit the manager between the eyes and be a part of the squad again."
His career continued on an upward trajectory after that. Ferdinand was one of the stars of the 2002 World Cup in Japan and Korea and signed for Manchester United for £30m soon after the end of the tournament.
Ferdinand said he was not surprised Capello had been so ruthless in axing Walcott - who had been a regular selection, when fit - during England's qualifying campaign.
"This manager doesn't make favourites, so I was open to anything happening," said Ferdinand, who played every game for England in the 2006 tournament.
"I don't think anything would have been a surprise, because I saw that was how the manager was.
"To say it was a surprise would be a detriment to the other players. Wrighty (Shaun Wright-Phillips) came on against Japan and was his usual industrious self.
"He can inspire his team-mates with the way he plays. He tempts people to make tackles and wins you free-kicks."
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