In January 2003, after another 2nd in the Sestriere slalom, Rocca finally won his first World Cup race on the Lauberhorn piste at Wengen in Switzerland.

In the 2005 season he took two victories at Chamonix and Flachau, and two bronze medals at his home World Championship in Bormio, in the slalom and the combined.

Rocca won again in February 2005, this time at Kranjska Gora, and for a while was in contention for the Slalom World Cup title for the season.

He explained his notable improvements from a psychological point of view, as he had taken advantage of the help of a team of psychologists to solve the alleged fragility that had thwarted him in past seasons.

He did not enter the Giant Slalom or Super-G as originally planned, however he did compete in the Combined race where he placed 5th with a total time of 3:10.74.