Lower temperature leads to a higher probability of visiting low-energy states. This intuitive belief underlies most physics-inspired strategies for addressing hard optimization problems. For instance, the popular simulated annealing (SA) dynamics is expected to approach a ground state if the temperature is lowered appropriately. Here, we demonstrate that this belief is not always justified. Specifically, we employ the cavity method to analyze the minimum strong defensive alliance problem and discover a bifurcation in the solution space, induced by an inflection point in the entropy-energy profile. While easily accessible configurations are associated with the lower-free-energy branch, the low-energy configurations are associated with the higher-free-energy branch within the same temperature range. There is a discontinuous phase transition between the high-energy configurations and the ground states, which generally cannot be followed by SA. We introduce an energy-clamping strategy to obtain superior solutions by following the higher-free-energy branch, overcoming the limitations of SA. Copyright © 2018 American Physical Society.