"Confidence is not lacking in our locker room at all," he said in an interview that aired on The Jump. "It's just a matter of going out there and playing."
One big factor as the team tries to win three straight games is the experience of being on both sides of the 3-1 comeback.
In 2016, the Warriors overcame the deficit to beat the Oklahoma City Thunder in the Western Conference Finals, but then they had the tables turned on them in the NBA Finals when the Cleveland Cavaliers came back from down 3-1. Although the roster isn't exactly the same, the core of Curry, Klay Thompson, Draymond Green and Andre Iguodala were all playing key roles on that squad.
As Curry explained, this experience helps the team know a comeback is possible, although the squad isn't getting ahead of itself.
"For us, we have to dumb it down to how do you win one game?" Curry asked. "Win Game 5. And that's all we can control right now."
The important factor going into Monday's Game 5 will be the health of Kevin Durant, who has been out since the second round of the playoffs with a calf strain. According to Adrian Wojnarowski of ESPN, the forward "plans to play" in the upcoming game.
While it might be important to temper expectations considering Durant missed more than a month of action, Curry seemed excited about his potential return.
"It'll be fun," the guard said. "He's been through a lot these last 30-plus days, but at the end of the day he knows how to play basketball."
It seems even if Durant is less than 100 percent, Curry knows the type of impact the two-time Finals MVP can have on a game. This could help explain the confidence the Warriors have despite their backs being against the wall.