Well, here's his chance.
The British expatriate with the big dreams will be on full display Sunday, sharing the lead and playing with Tiger Woods in the final group at the PGA Championship. Not only does he have a chance to win his first major and break Europe's long PGA losing streak, but it's Donald's chance to prove he can do more than talk.
'This is where I want to be,' said Donald, who lives nearby. 'This is what I need to do if I want to realize that dream and try to become the best player in the world.'
Donald has been one of those 'players on the rise' seemingly forever. He won the NCAA title at nearby Northwestern in 1999, and led Britain and Ireland to victory in the Walker Cup five years ago. He's played on a Ryder Cup team, won two PGA Tour events and was tied for third at the 2005 Masters -- though he was so far from Woods and Chris DiMarco he might as well have been playing in South Carolina.
But he's never been able to break through at the biggest events.
After winning the Honda Classic in March, Donald said he needed an attitude adjustment. If his goal was to unseat Woods as best in the world, he needed to start thinking -- and playing -- as if he was capable of doing it.
'I think the only way for me to catch him is to start believing I'm as good as him,' Donald said then. 'If I don't believe that, I'm not going to be as good as him, full stop. So I've got to start believing.'
It took some doing, though. He was never in contention at the Masters, opening with 74 and shooting a 76 on Saturday. He blew up with a first-round 78 at the U.S. Open, and had an anemic 74 the first day at the British.
'It's just a lot of trying too hard, really, is what I would put it down to,' Donald said Saturday. 'I would say to myself, `I'm not going to press, I'm not going to get upset when I hit bad shots.' And I did. I keep telling myself not to do it, but I did it.
'This week I was determined to have a little bit more fun out there.'
He certainly seems to be having a ball. He was in a four-way tie for the lead with Billy Andrade, Henrik Stenson and Tim Herron after a second straight 68 Friday. But while the other three stood pat (Herron) or fell apart (Andrade and Stenson), Donald kept right on going.
He shot a 6-under 66 on Saturday, and hasn't had a bogey since the first round. Most importantly, he's playing loose and relaxed.
'I felt more comfortable out there today than the first two days with my game,' he said. 'I hit more fairways, more greens and felt pretty much under control. It's always nice when you have that feeling on the golf course.'
Especially when you start the way Donald did.
His shot off the first tee found heavy rough. Though he made a nice punchout, his weak chip shot left him a 10-foot uphill putt just to save par. He made it, though, and took off from there.
He made birdie putts from 20 and 30 feet on the next two holes, and had three more before he made the turn. He picked up only one stroke on the back nine, but it was a biggie.
Woods had moved into the lead with three straight birdies, topping Donald at 14-under. After a bogey -- Woods' first since the first hole of the tournament -- he got back to 14 with a 12-foot putt on the 17th hole.
But Donald matched it. His 6-iron off the tee on the par-3 landed three feet from the cup, and he tapped in to reclaim a share of the lead.
'Playing with Tiger Woods in the last round of a major, especially it being in Chicago where I've been living for the last nine years, that's going to be exciting, something I'm going to be looking forward to,' he said. 'It's quite a thrill.'
It's going to be nerve-racking, too. Woods is 11-0 in majors when he has at least a share of the 54-hole lead, including a win at the British Open last month. He won the PGA the last time it was at Medinah Country Club in 1999, and seems to be getting better with every hole he plays.
'His numbers are obviously impressive,' Donald said. 'Saying that, there's a lot of expectations on that. He doesn't want to ruin that record and he'll have people expecting him to win. Maybe I can use that to my advantage and just kind of sneak by without anyone noticing and pick up the trophy.'
A few people would probably notice.
He's had plenty of local support this week. He's greeted with a 'Go Northwestern!' or 'Go Wildcats!' wherever he goes, and there were chants of 'Luuuke! Luuuke!' when he made his birdie on 17.
'It's been fun and it's motivated me, for sure,' Donald said. 'I don't know whether the local support will outweigh Tiger's Army following him. It will be fun, and I'm sure I'll have a lot more support than I would if it were anywhere else.'