At Preston, Davey earned a consecutive championship medal when Preston North End won the divisional title, Davey made his full home league debut in midfield alongside a youngster on loan from Manchester United who arrived to make his league debut too, David Beckham. They played 5 games together, Beckham scored his first league goal when the novice asked Davey if he could have a go at a free-kick Davey was planning to take; Davey stepped aside and let him have it. Davey went on to score 22 times in 122 games for Preston and was named in the PFA Team of the Season in 1995. While with the club, he also made 11 loan appearances for Darlington. Davey's playing career was cut short at the age of 27 following a back injury while training with a medicine ball.