Davies joined Southampton's Centre of Excellence at Bath before moving up to the Academy. He made his first appearance for the reserves in September 2001 and became a regular for the Saints reserves in the 2002–03 season after moving from the wing to a striking role. Between March and April 2003 he scored 4 times in 5 reserve games, which brought him to the attention of first team manager Gordon Strachan. Strachan named Davies in his initial 20-man squad for the 2003 FA Cup final, however he failed to make the bench. Davies also travelled to Bucharest for Saints' UEFA Cup tie.