Day's friend and playing partner for the first two rounds Tiger Woods - who won two of his three Opens at St Andrews - encouraged him to go on and become a major winner.
"Every time I'm playing or in contention, he [Woods] always sends a text message to me saying 'you know what you need to do'," he added.
"As we were walking off the green [on Saturday], he just said 'go get it done, you know what you need to do, like always'.
"To be able to play golf against one of the best in the world, the winner of 14 majors and I think 79 PGA Tour events and countless victories around the world, to be able to hear that and get that advice come from that person it gives you a boost of confidence just to know that you're doing the right things."
Jason Day is hoping that his past experience of being involved in the latter stages of major tournaments can help him break his duck at The Open on Monday.
Australian Day carded a five-under-par 67 on Sunday to move into a three-way lead alongside Irish amateur Paul Dunne and Louis Oosthuizen - victor the last time the tournament was play at St Andrews in 2010.
Day has had several near misses in the past, twice finishing runner-up at the U.S. Open, as well as recording finishes of second and third at The Masters.
The 27-year-old has struggled in The Open in the past, with his best finish coming in 2011 when he finished in a tie for 30th, but he is well in contention to lift the Claret Jug this time around.
"I think it's just over the last few years that I've played and been in contention at major championships that I've learnt a lot," he said. "I think the biggest thing for me is just to understand that [Monday] is going to be a tough round.
"There's going to be a lot of wind, there's going to be a lot of rain, there's going to be a lot of guys that are going to shoot low scores. It's a pretty tight leaderboard if you look at it.
"There's a lot of good players that are behind us trying to chase that lead. It's about trying not to get so absorbed and attached to the leaderboard, and pretty much what I did today, just to really stay patient and let the birdies come to you, really focus on what I need to do to try and get the ball as close to the pin as I can and give myself opportunities.
"It's going to be fun. It's going to be a good challenge. I think I need to just embrace it more."