Matsatsantsa ousted Chiefs 5-3 on penalties on Saturday after 120 minutes of football produced a 1-1 stalemate at FNB Stadium.
Brockie netted his 11th goal of the season with a spectacular left-footed volley in regulation time, and then slotted the winning spot-kick in the shootout for the cup holders.
"Jeremy played like Jeremy tonight," Baxter told SuperSportTV after the quarter-final tie.
"He's been a little bit anonymous, he's not been doing himself justice and I think he's worried about it. Good players, they worry about their form, and I think he's worried about it. We had spoken with him and tonight I think he got back on track, and I think there were a lot of our players that got back on track tonight."
SuperSport relied on ex-Amakhosi goalkeeper Reyaad Pieterse to save a Bernard Parker penalty in extra time following a Dean Furman handball in the area. Baxter, however, felt his charges should have put the game to bed inside 90 minutes.
"I think the players, we felt that we should have won it in 90. We had some massive chances, it goes into extra time and we have the excitement of a penalty against us. I don't know what Dean was doing, I don't think he knew what he was doing. But it was a penalty and Reyaad comes up big and keeps us in the game, and we could have sneaked it again. It goes to extra time, then it goes to penalties and they kept their nerve. Penalties is penalties, if we had lost on it I would have been gutted.
"So I will accept the win through penalties but I think if we reflect on the game we were on top. We created the better chances and we were very, very solid. So I'm proud of the players' performance tonight on the back of a couple of questionable performances.
"Tonight was like welcome back Jeremy Brockie and they upped their game so I am really proud of them," concluded the Brit.
