Following the restart of the Bundesliga which had halted all matches due to the COVID-19 pandemic, Davies started against both Eintracht Frankfurt and Borussia Dortmund. He scored and assisted in the Frankfurt match and ended up running down Dortmund's Erling Haaland at a speed of . On June 16, 2020, Davies featured for Bayern against Werder Bremen in a game they won 1–0, securing Bayern Munich their eighth consecutive league title. Davies was sent off in the 79th minute for a second yellow card, but not before breaking the record for the fastest speed clocked in the Bundesliga at . Davies was named the Bundesliga Rookie of the Year for the 2019–20 season. On August 14, 2020, Davies, who was playing the left-back position, was applauded for assisting Joshua Kimmich's goal against Barcelona in the Champions League quarter-finals which Bayern Munich won with an impressive final score of 8–2. On August 23, he started in the Champions League final against Paris Saint-Germain, which Bayern won 1–0 to complete a continental treble; consequently, Davies became the first Canadian men's international to win the Champions League.