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Speaking with Movember's Robert Dunne on the A Few Good Men podcast, McCaw (38) opened up about going through periods of anxiety and doubt while playing for the All Blacks.
The All Blacks great called a moment before the 2011 World Cup final where he feared he would get dumped as captain if they team didn't take out the trophy.
"It only went through my mind once, but the morning of the final - it was a nine o'clock game so we had a long day to fill - I was lying on the bed and I was like 'the reality is if we don't win today, this will be my last game as captain'," he said.
"And now people could argue whatever but you think about it, someone who's been captain at two World Cups and haven't won it, they're not going to give you a third go.
"But I was like 'wow this is unhelpful' and that was the last time I had even considered it. But you know that was reality."
McCaw, who led the All Blacks to two straight World Cup wins in 2011 and 2015, also opened up about a difficult period while recovering from a head knock early in his career, where he "was in a bit of a hole". (McCaw missed several months of the 2004 season while dealing with head injury issues.)
"Head knocks unfortunately in contact sport that happens. And for some people it affects them more than others. So I did get a decent one. But I think what happened, yup I had a few symptoms for a little while, but I got myself in a hole because people started to question whether I should be playing rugby, I started to question that.
"And put the head injury aside, I think I recovered from that probably a bit quicker, but I actually got myself in a hole. I was looking at 'I'm never going to be able to play rugby again', and you get the old negative loop.
"And a lot of people probably understand, when you get into that sort of mindset it's hard to see how you were going to get yourself back to where you were. And I was probably like that for a little while and it took a while to sort of get myself back into just focusing on getting myself fit again.
"I remember the sort of cloud lifting when I got myself back on the field which sounds a bit terrible that it took it to do that and look back and go 'I was in a bit of a hole'."
McCaw said going through those struggles helped him understand that rugby is so much more than just a physical sport, and that those experiences have also helped him in life after rugby.
"Once I got back playing and got past all that, it made you really appreciate what you were doing. And actually realising that just going and training hard and going and playing, there's a bit more to making sure everything works.
"And even like performing under pressure, that's not just a matter of training hard or on the field, there's all sorts of things that you can do to become more resilient, lift your threshold of what you can handle and stuff like that.
"And that's I guess something that really intrigued me and that I put a lot of work into probably in the last three years."
• A Few Good Men is a new podcast series with Radio Hauraki and the Movember Foundation.