McCaw believes in previous campaigns the Kiwis have turned up and expected their talent would win them the competition.
"I don't think we understood what it took to win the World Cup," he admitted. "We just sort of turned up and said, 'We're going to win it'.
"You look at that English team back then. Everything was put into winning the World Cup. It's a matter of having everything right, and up till now I think we've done that."
The All Blacks are favourites to reclaim the World Cup in Paris next year after 20 years and four failed attempts.
David Kirk is the only captain to have led the Kiwis to the world crown, lifting the cup on home soil in 1987.
Since then, Gary Whetton, Sean Fitzpatrick, Taine Randell and McCaw's Canterbury, Crusaders and All Black colleague Reuben Thorne have tried and failed, while predecessor Tana Umaga never had the opportunity.
"I'd be lying if I said I didn't occasionally think like that. It doesn't hurt to think good things," McCaw told The New Zealand Herald.
"It's an old cliche that you focus on what's just round the corner. But at this time when you're not playing you can think of the year as a whole and think it'd be great.
"I've never even seen the thing up close. It'd be nice to do that."