Sadly his next trick was to bring to an end the proud World Cup qualification run.
Worse was to follow on the road as Scotland were destroyed 5-0 by Portugal in a game that saw Ally McCoist break his leg and Gough call time on his international career after a fight with the manager.
Perfunctory wins over group minnows Estonia and Malta coupled with home draws with Switzerland, Portugal and group winners Italy took Scotland to 11 points but that was only enough for fourth place, four points behind the second placed Swiss.
The SFA's Jim Farry announced that he was standing behind Roxburgh but the manager himself decided he’d had enough of standing in front of Farry and Craig Brown took over as caretaker manager for the final two group games.
Scotland found themselves at a crossroads.
Qualifying for World Cups was what we did. It was all we did. If we didn't qualify we had nothing. And, as the rain fell that night in Portugal, it really did look like whatever we had was slipping away.
The SFA needed a charismatic, popular, inspirational manager to plot a new course.
Unable to find one they gave the job to Craig Brown permanently, the reasoning perhaps being that there was nothing so broke that Brown's reasonableness and experience at the side of Roxburgh wouldn't be able to fix it.
He knew exactly what he had to do. International tournament football was returning to England for the first time in 30 years in the summer of 1996. Brown had to make sure that Scotland didn't miss out this time.
Qualification for Euro 96 (the abbreviated title was officially used for the first time here, coined either by David Baddiel or someone who worked for Coca-Cola) saw 12 countries enter for the first time.
European cartographers were being kept busy and the reshaping of an old continent would have long term consequences for the national team.
For now, however, Brown got a group that although not without danger looked manageable, especially with the finals doubling in size from an elite eight teams to a more egalitarian 16.
Russia and Greece came from the top two pots of seeds with Finland, Faroe Islands and San Marino plucked from the three below Scotland in pot 3.
A 2-0 win in Finland gave Scotland the best possible start and, while a defeat in Greece wasn't ideal, two draws with Russia kept the pressure on.
When Greece came to Hampden in August 1995, Scotland needed a hero.
We found one in Ally McCoist. Coming on as substitute with less than 20 minutes to go McCoist scored with a header - his first touch in international football since breaking his leg in Portugal - to give Scotland a 1-0 win.
For me the night began with a Yorkshireman getting lost in Falkirk and ended with a friend falling out the back of a Transit van in the grounds of the private hospital at Murrayfield.
Somewhere along the way I’d been at Hampden as Scotland had seized the momentum. We closed out the group behind the Russians with an impressive enough points tally to qualify as one of the best runners up and, no doubt to Brown's great pleasure, the second best defensive record in the competition.
Football, we were told, was coming home. Craig Brown's Scotland were going to gatecrash.
The draw delivered a crackerjack. The Netherlands were perennial opponents, we'd had some recent history with Switzerland. And then there was England.
The first clash against the Auld Enemy for 16 years would be at Wembley in the finals of the European Championship.
Did we just accept that at the time? Or did we question if a corporate sponsor had been "heating" the balls before the draw was made?
Maybe in our excitement we didn't think about it or maybe we were less cynical in those days. Euro 96 was, after all, the first "modern" European Championship, marketed within an inch of its life and setting the template for all that's gone since.
Certainly we probably saw a group that was tough but not insurmountable and one that practically gave Scotland home advantage.
England and Switzerland got the group - and the tournament - underway with an uninspiring 1-1 draw at Wembley.
Two days later Scotland and the Netherlands matched them with an uninspiring goalless draw at Villa Park.
The proximity of the tournament, Scotland's involvement and the fawning of the English press has put a sheen on Euro 96 that has never been justified - too much of the football was as uninspiring as these two games.
Not that Scotland cared. They'd stifled the Dutch - at one stage with a blatant yet somehow unnoticed John Collins handball - and if they lacked creativity themselves they had at least weathered the storm and emerged with a point.
We've had worse starts to tournaments.
I was on some sort of course at Stirling University with school when we played the Dutch. I can't remember much about the course but I do remember we were not flavour of the month when it was discovered a group of us had decanted to the pub to cheer every last stubborn, resolute Scottish tackle. Late night choruses of Rod Stewart's Purple Heather kept us in the doghouse for the rest of the week.
So to the big one.
England v Scotland. Wembley. 15th June 1996.
On the morning of the game an IRA bomb exploded in Manchester city centre. 212 people were injured - there were no fatalities - and a shadow was cast over England’s summer of sport.
Aware as we all were of events in the north of England, the show went on. I seem to remember a spectacularly long build up to the 3pm kick off.
In Scotland we got to relive the Wembley win of 1967, the joy of Jim Baxter in his pomp. It's possible the English build up might even have mentioned 1966.
On a sunny day barbecues sizzled, beers were downed and nerves grew.
Those two unispiring draws were indicative. England huffed and puffed. Scotland matched each huff and each puff.
0-0 at half time. Still anyone's game.
Stuart Pearce was withdrawn at half time and England manager Terry Venables replaced him with Jamie Redknapp.
That improved England's shape after a first half that saw Gary McAllister, John Collins and Stuart McCall dominate the midfield. Less than ten minutes into the second half Scotland were a goal down.
Gary Neville crossed, Alan Shearer met the cross. 1-0. A typical Shearer goal.
But Scotland weren't done. David Seaman saved well from a Gordon Durie header and, when Durie was brought down, the goalkeeper found himself facing a Gary McAllister penalty.
Do you need reminded of the rest? The ball moved, McAllister kept going, Seaman saved, England broke, Gazza flicked, Hendry slipped, Gazza scored.
It went something like that. The penalty was too much for me so I took to the garden. The disturbing lack of cheers suggested McAllister had missed. When I got back inside Scotland were two down.
It had taken the power of Shearer and the genius of Gascoigne to break Scotland and raise England from their torpor.
From ringleader of England's drunken bums, Gazza was once more celebrated as England's clown prince. The tabloids even apologised to him.
Gary McAllister has said that the moments after that penalty was awarded forever damaged him in the eyes of the Tartan Army. I'm not sure that’s true - I'd blame Brown's selection policy a couple of years down the line for any abuse McAllister received - but it's a shame he feels like that.
The ball moving - Seaman also moved - was a freak occurrence in a moment of huge pressure. McAllister and Scotland got unlucky, England got lucky and Gazza had the brilliance to capitalise.
Such is football.
With England falling in love with Gazza all over again Scotland were sent homeward via Villa Park and a meeting with Switzerland that could yet see them into the next round.
Scotland had to win, hope England could beat the Dutch and try and ensure goal difference worked in our favour.
We came so very close.
With a goal chase on the cards Brown gave Ally McCoist a start and, with the midfield again running the show, the striker twice had chances to put Scotland ahead.
It took him 36 minutes to do just that with a fine effort from outside the box.
Scotland were on their way. And so too were England. As Venables' side found their rhythm they took an unlikely 4-0 goal lead over the Dutch.
Scotland toiled to add to their solitary goal but that didn't matter - a 1-0 win coupled with a 4-0 win for England would be enough to get Scotland through.
And then Patrick Kluivert came off the bench. And then he scored.
And that was that. The Dutch consolation goal 12 minutes from time was enough to tip the goal difference balance in their favour and Scotland were unable to find a response.
Agonisingly close margins.
Admittedly relying on England to cuff the Dutch was never the most secure of plans and Scotland, with everything on the line, should have been able to find another way past the Swiss.
But it was so, so close. A somewhat shamefaced Dutch side realised they'd done enough while being humiliated by England and Scotland were once again left to ponder what might have been.
A win, a draw, just the one goal scored.
It wasn't earth shattering form.
But it was so nearly enough...
As it was our experience of European Championship finals reads six games played with two wins, a draw and three losses. Four goals scored and five conceded with Scotland drawing a blank in four games.
Much like our World Cup record: when we got there we didn't really know how to stay there.
Scotland's Euro 96 squad
Manager: Craig Brown
Andy Goram, age 33, 35 caps (Rangers)
Jim Leighton, age 37, 74 caps (Hibs)
Nicky Walker, age 33, 2 caps (Partick Thistle)
Tom Boyd, age 30, 34 caps (Celtic)
Colin Calderwood, age 31, 10 caps (Tottenham Hotspur)
Colin Hendry, age 30, 17 caps (Blackburn Rovers)
Stewart McKimmie, age 33, 37 caps (Aberdeen)
Tosh McKinlay, age 31, 3 caps (Celtic)
Derek Whyte, age 27, 9 caps (Middlesbrough)
Craig Burley, age 24, 8 caps (Chelsea)
John Collins, age 28, 32 caps (Celtic)
Scot Gemmill, age 25, 6 caps (Nottingham Forest)
Eoin Jess, age 25, 11 caps (Coventry City)
Stuart McCall, age 31, 33 caps (Rangers)
Gary McAllister, age 31, 40 caps (Leeds United)
Billy McKinlay, age 27, 17 caps (Blackburn Rovers)
Scott Booth, age 24, 11 caps (Aberdeen)
Gordon Durie, age 30, 28 caps (Rangers)
Kevin Gallacher, age 29, 21 caps (Blackburn Rovers)
Ally McCoist, age 33, 51 caps (Rangers)
Darren Jackson, age 29, 12 caps (Hibs)
John Spencer, age 25, 8 caps (Chelsea)
- Average was just under 30, although only Collins, Booth and Gallacher were under 30 in the starting XI v Netherland, Collins and Spencer v England and Collins and Burley v Switzerland
- Scotland's warm up fixtures included a 2-1 defeat to the USA. We might take that now.
- Ally McCoist's goal against Switzerland was his first in eight appearances in the finals of a major tournament (1990 World Cup, 1992 European Championship, 1996 European Championship)