New Orleans, LA (SportsNetwork.com) - They'll talk about Stephen Curry's shot for a long time -- a 3-pointer from the corner with two players charging right at him.

But this Warriors comeback started closer to the rim.

Curry knocked down a game-tying 3 in the final seconds of regulation and No. 1-seeded Golden State beat New Orleans 123-119 in overtime on Thursday night to take a 3-0 lead in their first-round playoff series.

Curry's shot brought the Warriors all the way back from a 20-point deficit at the end of the third quarter and came after the team's 10th offensive rebound of the fourth, on a Curry miss.

"I'm going to have to watch the tape," Warriors coach Steve Kerr said, failing to find words to explain the comeback. "I'm not quite sure what happened. I'm as startled as anyone else."

Golden State, which was pestered by the eighth-seeded Pelicans while winning Games 1 and 2 at home, will have a chance to close out the series on Saturday.

The Pelicans will play host again, but are facing historically bad odds.

No NBA team has ever won a postseason series down 3-0, and trying to do it after a letdown as big as this might put them in an even steeper hole.

The Warriors were only the third team in NBA history to win a playoff game after trailing by 20 points entering the fourth quarter.

"We're all feeling like dirt right now," said New Orleans coach Monty Williams. "You want to build (your players) up, but there's nothing that can build you up after something like that. We have to deal with it and own it."

Curry was 7-of-18 from long distance and had 40 points, including seven in overtime, which he opened with a 3 to give the Warriors the lead for the first time since there were two minutes left in the first quarter.

Klay Thompson added 28 points and Draymond Green and Shaun Livingston each scored 12, but made even bigger contributions on the offensive glass.

Anthony Davis had 29 points and 15 rebounds to lead New Orleans. Ryan Anderson contributed off the bench, scoring 26, and Tyreke Evans added 19 points.

"That was a game obviously we all thought we were going to win," Anderson said. But that's a team you can't count out of a game until the buzzer goes off in the fourth quarter."

Kerr said he was desperate to find a formula that worked when he turned to a smaller lineup in the fourth.

"We had nothing going for three quarters," he said. "It was as bad a game as I've seen for some time. They had us scattered at both ends. Our small unit turned it into a track meet."

The Warriors fueled their comeback with 10 offensive rebounds in the quarter. The last one was scooped up by Marreese Speights near the basket after Curry missed a 3-point attempt off the front of the rim.

He dished it back to the left corner, where Curry buried his game-tying shot with Davis and Evans bearing down on him. Evans then missed a hurried 3 at the other end, sending the game to overtime.

It was a mighty comeback befitting the team that finished with the NBA's best record in the regular season by seven games.

The Warriors scored 16 of their 39 points in the quarter on second chances, but still trailed by 10 after Davis' dunk with around three minutes remaining. It was a six-point gap when Curry missed a 3, but Green was left wide-open for the easy rebound and putback.

Green had four offensive rebounds in the fourth and Livingston added three.

Anderson's 3 brought the Pelicans back from a six-point deficit in overtime, trimming the margin to one, but the Warriors held on at the free throw line.

They will try to earn the franchise's first postseason sweep since running the table on Utah in a best-of-five series in 1989.

The Pelicans trailed by eight early on, but shot almost 60 percent in the first half and used a 22-2 run spanning the first and second quarters to take a 39-25 lead after 19 consecutive points.

Anderson scored nine straight Pelicans points later in the half and they led by as much as 16 in the final two minutes.

A Thompson 3 early in the third briefly trimmed the Pelicans' lead to eight, but it was double digits for the rest of the period and grew to 20.

Game Notes

The Warriors had 22 offensive rebounds and scored 30 second-chance points ... The Pelicans, making the sixth playoff appearance in the franchise's 13-year history, have never been swept in a postseason series ... It was the first playoff game in New Orleans since a Game 6 loss to the Lakers on April 28, 2011.