Davies started his football career with Wimbledon as a trainee at the age of 15. A year later, he was released. He wrote to every club in the local area, including Arsenal, Crystal Palace, Queens Park Rangers, Tottenham Hotspur and Millwall asking for a trial. Colchester United responded first, two weeks before any other club, and a trial was offered; after a couple of trial matches he was released. Luton Town were the next to offer him a trial. During the trial, he scored two goals in three matches and was handed a scholarship straight away. He made his first-team debut in 2003.

The next season Davies only managed six matches, and one goal in his final match, at home to Millwall, before his impressive displays saw him signed by Premier League club West Bromwich Albion on 31 August 2005 for a fee of £3 million.

Davies made 35 starts and scored two goals in his first season with Albion, which ended with the club being relegated to the Championship. In July 2006 he pledged his future to the club by signing a new four-year deal, and was appointed captain on a permanent basis, having captained the team on several occasions during the previous season to become the club’s second youngest captain of all time. He was sent off for the first time in February 2007 after receiving two yellow cards for challenges on Middlesbrough striker Mark Viduka. A month later, he broke a metatarsal in Albion’s match against Crystal Palace, an injury that ruled him out for the rest of the season and made him unavailable for selection for the first match at the new Wembley Stadium, an England under-21 international, for which he had been named in the squad. Nevertheless, he was named in the PFA Championship Team of the Year for 2006–07.

Davies made his England under-21 debut on 28 February 2006, against Norway U21s. He was capped three times by the England under-21s from 2006 to 2007. He was named in Fabio Capello’s first provisional England squad in January 2008. Davies initially expressed shock at the news of his call-up. He was also named in England’s squad to face Germany in November of that year, but did not take the field.

On 31 August 2007, Davies signed for Aston Villa on loan for the season, with a view to a permanent transfer in the summer of 2008. He made his Villa debut in a 1–0 League Cup defeat to Leicester City on 27 September, afterwards comparing his performance to that of a pub team player:

On 1 March 2008, Davies suffered a ruptured achilles tendon against Arsenal and was expected to be out for at least six months.

Davies signed a four-year contract with Aston Villa to make the move permanent on 3 July 2008. The fee was undisclosed, but was reported at between £8m and £11m. Manager Martin O’Neill had said in April that he “[didn’t] expect to see him back until October or November time”, but Davies was fit to start Villa’s UEFA Cup match against Fimleikafélag Hafnarfjarðar on 14 August. He captained Aston Villa for the first time on 6 November, in the 1–0 UEFA Cup win against Slavia Prague, with regular captain Martin Laursen on the substitutes’ bench. He scored his first goal of the season in January 2009, helping his team to a 2–1 win against his former club West Bromwich Albion. Davies chose not to celebrate the goal out of respect for his former club.

On 28 January 2011, Davies signed for rivals Birmingham City on a three-and-a-half-year contract for an undisclosed fee. He was given the squad number 32. Davies was cup-tied for Birmingham’s victory in the 2011 League Cup Final. He made his first-team debut in a 3–1 home defeat to former club West Bromwich Albion in March, coming into the starting eleven in place of the injured Martin Jiránek. His first goal for the club came when he opened the scoring with a header from a Jordon Mutch corner on 6 August 2011 as Birmingham went on to lose 2–1 at Derby County. In Birmingham’s first match in major European competition for nearly 50 years, the Europa League play-off round first leg against Portuguese club Nacional, which finished goalless, Davies made a well-timed tackle from behind to prevent Mateus opening the scoring.

On 25 June 2013, Davies moved to newly promoted Premier League club Hull City on a three-year contract for an undisclosed fee, reported by BBC Sport as “understood to be around £2.25 million”. He made his debut on the first day of the 2013–14 season in a 2–0 loss away at Chelsea, and scored his first goal for the club on 14 September against Cardiff City, when he headed home Tom Huddlestone’s precise cross from six yards. At the annual awards ceremony on 7 May 2014, at the KC Stadium, Davies was voted as the Player of the Year. On 17 May 2014 he started in the FA Cup Final against Arsenal and scored to put his team 2–0 up, however Hull went on to lose 3–2. On 16 March 2016, Davies signed a two-year extension to his contract with the club.

On 7 June 2017, Davies signed a two-year contract with Championship club Derby County for an undisclosed fee following Hull’s relegation from the Premier League. After being an ever-present figure in his first season, Davies struggled with injury in 2018–19, first with a hamstring problem that allowed Richard Keogh and Fikayo Tomori to establish themselves as starting centre backs and then with a ruptured Achilles tendon that kept him out for the second half of the season. In September 2019, Keogh sustained a serious knee injury in a car crash after which two team-mates were charged with drink driving, so Davies regained both his starting place and the captaincy for the next match, against his former club Birmingham City.

In June 2020 Davies gained a first class honours degree in professional sports writing and broadcasting from Staffordshire University.