The Tampa Bay Lightning rookie did just that on Wednesday.
Connolly scored a pivotal second-period goal and looked good on a new line in Canada's 5-0 win over the Czech Republic.
Connolly replaced Smith-Pelly on a line with Freddie Hamilton and Quinton Howden. The trio had a solid opening shift and were instrumental in two second-period goals that opened up a tight game.
"Obviously, he expects the best out of me and I expect the best of myself," Connolly said of Hay's expectations. "He just wants me to be the best I can be. With Devante out it's not just me who has to step up.
"We had a lot of guys step up tonight. It was another complete team effort, it wasn't just me stepped up, the whole team did."
Hamilton took a long stretch pass from goaltender Scott Wedgewood that led to the 2-0 goal 16 minutes into the second period and then Connolly finished off a typical hard-forechecking Canadian offensive attack 55 seconds later with his first goal of the world junior hockey championship.
"I had missed an empty net earlier so I wasn't going to let that one not go in the net," Connolly said. "I was going to do everything to make sure it got it. It was obviously a key part of the game, so it was nice to see that one go in."
Both Hamilton and Connolly agreed it didn't take much adjustment for the new trio to click. The line finished the night with four points.
"No adjustment, really," Hamilton said. "He's played in the NHL so he has to be a really good player. He's a really smart player. We had some chemistry whenever we were on the ice together."
For Connolly, a native of Campbell River, B.C., it was just a case of playing his game.
"You have to play the same game, be reliable defensively and be hard on their best players, be hard to play against," he said. "I thought we all did that and our line was good tonight."
Connolly also contributed noticeably on the penalty kill as Canada successfully killed off seven power plays, including two two-man advantages. On the first two-man disadvantage, the Canadian defenders didn't allow the Czechs a single shot on goal for 69 seconds.
"There was a lot of emotion in the game," added Connolly. "Our penalty killing was great tonight. And we're going to have to have good penalty killing going ahead if we want to get where we want to go."