The 32-year-old never truly feared losing to Ireland in Dublin on Sunday, even after leaking three tries in the opening 17 minutes.
Openside flanker McCaw said New Zealand's unshakeable self-belief carried them to their 14th victory of 2013 - securing the perfect season.
Ryan Crotty's overtime try and Aaron Cruden's conversion stole a 24-22 win, to stamp New Zealand's place in history as the first professional-era team to record a 100 per cent campaign.
McCaw said a last-gasp Ranfurly Shield Challenge victory for Canterbury over Wellington in 2001 helped mould his champion attitude.
At 29-12 down that day 12 years ago, McCaw told skipper Todd Blackadder Canterbury could not launch a comeback. The nonplussed lock gave McCaw short shrift, and Canterbury sneaked to 31-29 victory thanks to Ben Blair's overtime try and conversion.
That lesson came to the front of McCaw's mind as New Zealand battled for their place in the record books at the Aviva Stadium.
"When I was a young player and first started in the provincial game our captain taught me something pretty important," he said.
"We were down by a similar margin, 29 to very little.
"I thought the game was over and he said 'believe', and we got home in that game.
"Since then I've never, ever given up, and always been proud of All Blacks teams, that no matter whether you're behind, seemingly out of the game, you never stop believing there's a chance.
"We had 15 guys out there believing, right to the last minute, and it's amazing what can happen.
"For me as captain, as soon as I drop my head, what are the other boys going to do? You've got to remember while there's still time, there's still a chance."
If the All Blacks' great Dublin escape was the tightest spot they squirmed through this season, their superlative 38-27 victory over South Africa in Johannesburg in the Rugby Championship in October proved another example of mind over matter.
Every time South Africa raised the stakes, New Zealand trumped their free-scoring hosts.
Bryan Habana blasted a two-minute try double, only to limp off with hamstring trouble well before half-time.
The Springboks conjured four tries in all, to register the bonus point.
So New Zealand just racked up five; their final score for Kieran Read coming with prop Ben Franks in the sin-bin.
McCaw rarely drops his steely focus, but, after carving his side's name into the sport's annals at the weekend, he was able to bask in the fully deserved afterglow.
He said: "I think with this result and the one against South Africa, we've shown again that desire and belief that we just never let drop.
"It's hard to let yourself reflect most of the time, but over the next few weeks I'm sure that's what people will do now."