The Spaniards, who won the 2010 World Cup in South Africa, are trying to become the first team to win three successive major international tournaments.
"We have an aim that no-one has ever achieved before and that is beautiful," Del Bosque said. "We do have a lot of pressure because there is a lot of optimism that surrounds us."
He added: "But we are accustomed to the pressure because we are defending the title and we are world champions. However, we cannot think that we are out of this world and we are going to win. It would be a huge mistake to have that attitude."
Injuries have robbed Spain of two key players from the last two title-winning sides in defender Carles Puyol and striker David Villa. Despite their absences, Spain won their last three friendlies. Italy, meanwhile, have endured a nightmare month.
A match-fixing scandal disrupted their preparations, with Italy coach Cesare Prandelli forced to drop Zenit St Petersburg defender Domenico Criscito from the squad as he is under investigation.
The Azzurri, who went unbeaten in qualifying, then lost 3-0 to Russia in their only warm-up match before the tournament to slump to their third straight defeat in friendlies. Italian football was embroiled in a match-fixing scandal in 2006, however, and still managed to win the World Cup in Germany.
Italy, eliminated by Spain in the quarter-finals of Euro 2008 on penalties, beat La Roja in a friendly in August 2011. And Prandelli, whose side conceded just two goals in nine Euro 2012 qualifying games, is optimistic.
"Spain are very strong but we have beaten them and no team is invincible," he said. "I have a team with character, quality and willingness."
Manchester City's maverick forward Mario Balotelli is set to partner Antonio Cassano in Italy's attack, and Prandelli added: "I have asked Balotelli to do the talking on the pitch. He has an extraordinary opportunity and cannot throw it away."
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