He reached his first world final in 2001, where he defeated John Higgins 18–14 to claim his first world title and reach number two in the world rankings. He won his third UK title later in 2001, which helped him attain the world number one ranking for the first time in the 2002/2003 season. With veteran six-time world champion Ray Reardon acting as his coach and mentor, he won his second world title in 2004, defeating Graeme Dott 18–8 in the final, after which he held the number one ranking for the next two seasons. He added his second Masters title in 2005, ten years after his first. However, his behaviour became notably erratic in the mid-2000s as he battled clinical depression. During the 2005 World Championship, he shaved his head mid-tournament and exhibited what "The Independent" called a "public emotional disintegration" while losing 11 of the last 14 frames in his quarterfinal against Peter Ebdon. At the 2005 UK Championship, he sat with a wet towel draped over his head during his match against Mark King. Trailing Stephen Hendry 1–4 in their best-of-17-frames quarterfinal at the 2006 UK Championship, he abruptly conceded the match during the sixth frame and left the arena. Hendry was awarded the match 9–1 and O'Sullivan was fined £20,800 over the incident.