The 2009 Women's Australian Open at Metropolitan Golf Club in Melbourne was one of those times.
The big-hitting Brit had been slow out of the gates amid hot and windy weather and her opening rounds of 1-over 74 and 3-over 76 left her 11 shots back but she roared back into contention with a Saturday 67.
On February 15, Davies again transcended the Sunday pressure, turning in a brilliant 5-under 68, which was highlighted by a trademark eagle at the par-5 14th.
Playing ahead of the lead group, the 4-time major winner was forced to wait and see if her four-round total of 7-under 285 would hold up.
Spaniard Tania Elosegui led by one shot as she surveyed her third shot from a green-side bunker at Metropolitan's par-4 finishing hole.
Tania Elosegui stands on the 72nd green at Metropolitan Golf Club during the 2009 Women's Australian Open.
The 27-year-old played an ordinary trap shot that still left her a long-range par putt for the title, which she missed.
Elosegui later admitted she thought her par putt had been to force a playoff, and, nonchalantly, proceeded to miss her bogey putt from very close range, which would have sent her to extra holes with Davies.
It was Davies' second Australian Open title following her win at Concord Golf Club five years earlier.
THE WEEK IN GOLF: 2017 WOMEN'S AUSTRALIAN OPEN
Want video tips delivered straight to your inbox? Subscribe to iseekgolf.com newsletters.