The 23-year-old drove the ball superbly on the rain-softened fairways at Congressional Country Club, carding six birdies in a bogey-free display to end the day in a tie for third place at five-under 208.
Although Day trails the pacesetting Northern Irishman Rory McIlroy by a staggering nine strokes, he was delighted once again to be in the upper reaches of a Major leaderboard.
"It's obviously good to be up here," the Australian said after notching birdies at the 16th and the tricky par-four last. "The more times I put myself in this position, the better chance I have of winning a tournament.
"I'm very excited to be where I am right now. I'm just looking forward to tomorrow.
"I can't say that I wanted to play for second place. I always want to try to win. Playing for second place, I guess you're playing for first loser."
Day has adjusted instantly to the pressures of Major championship golf.
He got his chance to compete in his first Major less than a year ago in the Open at St Andrews when Greg Norman pulled out and he gained his compatriot's spot, finishing in a tie for 60th.
In the following month's PGA Championship at Whistling Straits, he duelled for the lead in the final round before ending up joint 10th.
Day produced his best Major performance at the Masters in April when he fired a week-low 64 in the second round before finishing runner-up with fellow Australian Adam Scott.
"The way I finished at the Masters obviously gave me a confidence boost coming into this event," said Day, who won his first PGA Tour title at last year's Byron Nelson Championship.
"But you don't want to come into this event thinking you're going to finish great just because of the Masters. I didn't want to take it for granted. I wanted to come out here and give every shot 100 percent."
Asked how he would approach Sunday's final round with so much ground to make up on McIlroy, Day replied: "Obviously right now he's pretty much in automatic mode.
"He's going out and playing his game. He's been hitting it great over the last three days and it's going to be tough to try and catch him. But it's going to be exciting.
"I know we're going to get some rain tonight so it's going to play soft. Soft conditions, very attackable pin locations. And hopefully I can get that putter rolling a little better."