The Al-Nassr attacker saw his profligate streak continue in torturous fashion in Portugal's opening knockout match, where he failed to propel the Selecao to glory inside 90 minutes, despite having a handful of attempts on goal.
When Portugal were awarded a penalty on the stroke of half time in extra time, Ronaldo's curse would seemingly be lifted, only for Jan Oblak to spring himself to the left and beat away the 39-year-old's spot kick.
Ronaldo immediately broke down into tears during the half-time team huddle and was on the receiving end of some sympathetic gestures and some sharp words of motivation from his teammates, who would be taken all the way by Matjaz Kek's side.
Despite finding himself 1-0 down in his individual penalty battle with Oblak, Ronaldo stepped up for Portugal's first spot kick in the shootout and successfully found the opposite corner, despite his Atletico Madrid counterpart again diving the right way.
Martinez: 'Ronaldo is a constant example to us all'
The ex-Manchester United man put his hand up to the celebratory Portugal crowd and apologised for his earlier penalty miss, before Bruno Fernandes and Bernardo Silva also did the business from 12 yards, where Diogo Costa saved all three Slovenia attempts.
Thanks to their trio of perfect penalties and Costa becoming the first male goalkeeper to save three spot kicks in one Euros shootout, Portugal can now look ahead to a tantalising quarter-final with Hamburg on Friday, where the victor will face either Spain or Germany in the semi-finals.
Speaking to the press after the Selecao's gripping victory, Martinez affirmed that he had no doubts about Ronaldo taking the first penalty and hailed his skipper for showing them "the way" to glory.
"First and foremost I think he is a constant example for us, the only player that has ever played in six European Championships. He is happy taking that responsibility and has got that belief," Ronaldo said.
"I thanked him [afterwards] for being the way he is, for caring for the group. I was certain that he would be the first penalty taker and show us the way to take victory. I think we're all very proud of our captain.
"Our dressing room was all delighted. I think he gave us all a lesson. Life and football gives you difficult moments and the way he reacted shows why we are so proud in Portuguese football."
Ronaldo closing in unwanted Euros record
Ronaldo himself stressed that he had "already forgotten" about his extra-time penalty failure, but Oblak's terrific stop from his spot kick took the 39-year-old ever closer to making unwanted Euros history.
The Portugal skipper has now had 20 shots without scoring at the Euros, the fifth-most in the history of the men's tournament and only four behind the all-time record held by Deco from Euro 2004.
Also ahead of Ronaldo in that category are Spain's Fernando Hierro (23 from 1996), Belgium's Kevin De Bruyne and Hierro's compatriot Dani Olmo, who fired 21 without success at the 2016 and 2020 tournaments respectively.