The Azzurri surpassed the 35-game world record shared by Brazil’s team from 1993-96 and the great Spain side of 2007-09.
Italy’s run started in 2018 following a 1-0 defeat to Portugal in National League action on September 10.
It continued through Euro 2020 qualifying, before head coach Roberto Mancini led his side to victory in the competition.
Despite their undefeated run, Italy have now drawn four of their last five matches over 90 minutes.
If that continues, their positivity could wane.
Italy remain in a strong position in World Cup Group C, sitting on 11 points from five games, four ahead of the second-placed Swiss, who have two matches in hand on the Azzurri.
Only the top team goes through directly to the 2022 World Cup, with the runner-up entering the play-offs.
