The ability holder is unaffected by one-hit knockout moves, such as Sheer Cold. Starting in the fifth generation, the ability holder cannot be knocked out by any move when it's at full HP. This includes confusion damage but excludes moves that cause the use to faint like Explosion. If the Pokémon is restored to full health or only has a maximum on 1 HP, Sturdy can activate again. Sturdy only applies on the first hit of multi-strike moves so, it can faint the Pokémon on the second hit.
During his Gym battle in HeartGold and SoulSilver, Brock uses a Rhyhorn with this Ability, even though Rhyhorn cannot normally have Sturdy.
Since the fifth generation, if Sturdy is obtained on Shedinja by replacing Wonder Guard with an Ability that can be Skill Swapped with Sturdy, it would be able to activate for every attack, including every hit of a multi-strike move. However, indirect damage, such as sandstorm, will not activate Sturdy, and will KO Shedinja.