Davies appears as the only permanent panellist on the BBC Two comedy quiz game "QI", which was hosted by Stephen Fry from 2003 to 2015, and then by Sandi Toksvig. He also contributed "four words" to the "QI" book "The Book of General Ignorance" (which appear after Stephen Fry's foreword), "Will this do, Stephen?". Davies has appeared in almost every regular episode of the show, though in one episode (Episode 10 of Series D, "Divination") he appeared, pre-recorded, in only the first few minutes, as he was in Paris attending the UEFA Champions League Final between Barcelona and his beloved Arsenal during the recording. His chair was empty for the rest of the episode, although his voice was heard during "General Ignorance". He also did not appear in the 2011 Comic Relief episode, when his seat was taken by David Walliams. During the filming of the QI Christmas episode 2020, Davies set the new Guinness World Record for the most Christmas crackers pulled by an individual in 30 seconds, with 35 crackers pulled.