The 51-year-old Scot, who won the US Senior PGA Championship in May, claimed the US Senior Open at Oak Tree National in Oklahoma on Sunday, defeating Gene Sauers in a play-off after having trailed the American by four shots going into the final round.
He became the only fifth player - the others were Gary Player (1988), Jack Nicklaus (1991), Hale Irwin (1998) and England's Roger Chapman (2012) - to lift both titles in the same season, and he has the chance to complete the treble in Wales, the country where he led Europe to Ryder Cup glory four years ago.
Only Player managed the clean sweep of majors on the European Senior Tour, the South African having won the US Senior PGA, the Senior Open Championship and the US Senior Open in 1988.
Montgomerie feels his game is approaching the level it was at in his prime in the late 1990s, so the eight-time European Tour No.1 will head to Royal Porthcawl confident he can match Player's remarkable feat.
"I'm really on top of the world right now," he said. "It's a fabulous feeling. I'm going to have a week at home and then I will go down to Royal Porthcawl for the Senior Open and I am looking forward to trying to contend again. It was fantastic to win my first senior major and get my first victory on American soil in the US Senior PGA Championship, and then it was equally as satisfying to finally win a US GA event on Sunday by capturing the US Senior Open.
"To follow that by winning an R&A event, the Senior Open Championship, and joining Gary Player in the record books really would be a magnificent achievement and one I would be extremely proud of. Wales was so good to me and the Europe team in 2010 and it would be nice to pay the Welsh public back by completing the treble in their country next week.
"Hopefully I can keep playing the way I have been doing. I shot 65 around Oak Tree National last week and finished with 65 at Benton Harbor, and I feel my golf is as good as it was in the '90s when I was No.2 in the world. It really is; I can't see any difference between that."