Expectations were high as India had reached the final after nearly two decades. But the match ended in tears for Indians as the Australians completely outplayed them.
In 2007, Dravid got another crack at the coveted trophy - this time, he was leading the team.
Once again, the ODI tournament ended in misery for Indians as they failed to qualify for the knockouts.
Almost 20 years later, the stylish batter is back in business as the head coach of the Indian team which will take on Australia in the World Cup final on Sunday in Ahmedabad.
Whether he gets to hold the prestigious trophy or not, Dravid's place as one of the coaching greats is almost cemented.
But how did he transform himself from a legendary batter to a coach who stays in the background, making his presence felt through his team's dominant performances?
The answer lies in his illustrious career.
Dravid was known to toil hard throughout his glorious days as a player. He rarely gave away his wicket easily, earning him nicknames like "The Wall" and "Mr Dependable".
His class as a batter was on full display when he stitched an unforgettable 376-run partnership with VVS Laxman in 2001 to overturn an almost certain defeat in a Test match against Australia.
His 12-hour innings in a 2004 Test match against Pakistan is still regarded as a great example of sporting stubbornness.
During India's disastrous tour of England in 2011, Dravid stood tall among his peers. He scored 602 runs despite the hosts handing India a 4-0 humiliation.
His signature attitude of not giving up until it's really over is very visible in his coaching style as well.
But look closer and you will see that this stint hasn't come easy for him. Much like his days as a player, Dravid has worked hard as a coach - often ignoring criticism and sticking to his famed process.
His success hasn't come in a vacuum. He started at the very base that supplies India's senior team talents who are ready to perform at the international level.
He became the head coach of India's under-19 and A (junior national side) teams in 2016 - a job far removed from the glitz and glamour of the national side.
But he thrived in it, taking his team to the finals of the under-19 World Cup in 2016. After nurturing talent at the junior level for more than three years, he was appointed as the director of the National Cricket Academy (NCA).
The NCA is a premium centre where players stay to improve their fitness or recuperate from injuries.
While he was there, Indian cricket was going through a tumultuous period. The country's wait for an International Cricket Council (ICC) trophy was getting longer. It had last won an ICC event in 2013.
India suffered a heartbreaking loss at the hands of New Zealand in the semi-finals of the 2019 World Cup.
It was against that backdrop that Dravid was given charge of the team in 2021.
Many of the players in the senior team were coached or mentored by him at the junior level. So it all looked set and easy for Dravid - except it wasn't. The team was plagued by constant changes and the problems came to the fore whenVirat Kohli quit as captain in 2022.
Dravid turned to his familiar method - he shut out the noise and told his team to believe in the process and not be too bothered by defeats.
His eye was on the World Cup to be held in India in 2023. He had to experiment with different combinations - even if they came at the cost of losses.
He backed his players. When critics questioned KL Rahul's inclusion in the team, he supported the batter.
Today, Rahul is the backbone of the team not only because of his batting but also because of his wicketkeeping skills.
That is just so Dravid, the player who selflessly kept wicket in the 2003 edition so his side could play an extra batter or a bowler.
Rahul was not a frontline wicketkeeper, but he is doing as good a job as others in the tournament. Many also questioned Shreyas Iyer's place in the side but he is now one of the best number four batters to have played for India.
Dravid also invested heavily in his bowlers, especially the pace squad, which includes Mohammed Siraj, Mohammed Shami and Jasprit Bumrah.
His process included ensuring that he had the right combination before heading into the marquee tournament and the team peaked at the right time.
He also formed a trusted bond with captain Rohit Sharma, who has been a revelation in this tournament with his tactical decision-making and selfless batting.
Dravid's timing in fine-tuning the side couldn't have been more perfect. India won the Asia Cup - handing heavy defeats to Pakistan and Sri Lanka - before heading into the World Cup.
And so far, they have remained undefeated in the tournament. Now just one hurdle stands between this legend of the game and an ambition that remained painfully out of his grasp as a player.
He would be desperate to hold the trophy but one can be assured that he will show no signs of eagerness ahead of the match, and most probably after it is over as well.
That's just vintage Rahul Dravid, who likes to get on with the job quietly.
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In 2003, Rahul Dravid and his team-mates walked into the New Wanderers Stadium in Johannesburg to take on mighty Australia in the Cricket World Cup final.