On July 9, 2015, Davis signed a five-year, $145 million contract extension with the Pelicans. On November 6, he tied his career-high of 43 points in a loss to the Atlanta Hawks. On December 1, he tied a career-high 9 blocked shots in an offensive off night against the Memphis Grizzlies. On December 20, in a win over the Denver Nuggets, Davis scored a single-quarter career-high 19 first quarter points to finish the game with 27. On January 15, Davis converted an alley oop dunk from Jrue Holiday with 2 seconds remaining to give New Orleans a 109–107 victory over the Charlotte Hornets. On January 28, Davis was named as a reserve for the 2016 NBA All-Star Game. He again came close to a five-by-five with a 28-point, 10-rebound, 4-assist, 4-block, 4-steal effort on February 3 against the San Antonio Spurs. The following day, he was named to the NBA All-Star Weekend Skills Challenge lineup.