Davenport signed for nearby Sunderland in the summer of 1990, and formed an effective strike partnership with Marco Gabbiadini in the first half of the season. Despite this, Sunderland were relegated at the end of the season. In the 1991–92 season, Davenport continued to be a prominent player for Sunderland, scoring in the Wear-Tees Derby at Roker Park on 20 April 1992 with a first time volley from outside the 18-yard box, a goal that has been regarded as being one of the best scored at Roker Park in recent memory. In the same season, he played in the 1992 FA Cup Final at Wembley against Liverpool. Davenport scored the first goal in a famous 2–1 quarter-final victory over Chelsea during the road to Wembley and formed a partnership with striker John Byrne (who scored in every round bar the final itself).