Balwant Khojokar was at Shirdi in 1911 on the occasion of holy Datta Jayanthi i.e., the day of Lord Dattatreya’s first manifestation as the son of Sage Atri and his wife Anasuya. Khojokar’s son writes about the incident that took place on that day; “At about 5 p.m. or so, Baba was seated at the mosque with devotees around him. Suddenly he said, ‘I am having the pangs of labour. I cannot bear it. I am about to be delivered!’
Evidently he was identifying himself with Anasuya of yore, mother of Lord Dattatreya, who at that time of the day had her pains of labour ages ago and so he too was undergoing sympathetic pain. At the time of sunset, he drove out all people from the mosque and again, after a little while, he called in all people to come to him. Then he was in glee. This, according to puranas, was the time of Datta’s birth. People went in, and among them was my father. What he saw on Baba’s seat and in the place of Baba was small child, charming three-faced figure of Datta as an infant. That vision lasted for a moment. Khojokar realized that Sai Baba was Datta.
Another devotee’s experience occurred long after Baba’s mahasamadhi (in 1918). Vinayak Daji
Bhave, a clerk in the Railway Department, was anxious to find a guru. So he undertook a devout daily reading of the “Guru gita” which is said to be efficacious in such matters. After a month, he visited a temple of Datta on a Thursday. But, to his wonder, there he saw a samadhi (i.e. tomb of a saint) in the place of the usual idol of Datta! Next morning he happened to see, for the first time, late Sri Dabholkar’s (Hemadpanth) book on Sai Baba in which he saw a picture of Sai Baba’s samadhi. At once he recognised it to be the one that he saw at the Datta temple earlier and inferred that Sai Baba was his guru.
For a time he took Baba’s udi and read books on Baba. After some time the doubt cropped up in his mind that a tomb cannot be a substitute to a living guru who could communicate with him. So again he did parayana of the Guru gita for a week.
Then the great saint Narayan Maharaj of Khedgaobet appeared in his dream. Inferring that Narayana Maharaj was his guru, he went to Khedgaonbet. There Sri Narayan Maharaj appeared in his dream and said, “I and Sai Baba are not different from each other. Why do you not go there?” Thus confirmed, Daji Bhave accepted Sai Baba as his guru. Later a sadhu read his palm and said, “Sai Baba is your guru”. The appearance of Sai Baba’s samadhi in the place of Lord Datta’s idol in the Datta temple and its confirmation by Narayana Maharaj establish Baba’s
identity with Lord Dattatreya beyond any doubt.
Source: Sai-Baba The Master from Acharya Ekkirala Bharadwaja