In August 1992, he went from Swansea to Carlisle United on a free transfer. Within a few games, at the age of 22, he took over as team captain and led the club for a further 2 years and 5 months. In the 1993–94 season he played every game earning recognition amongst his fellow professionals by being selected for the Professional Footballers' Association (PFA) Team of the Season, an award voted for by all the professional players in the Football League. He also challenged for the title of leading scorer, eventually finishing second to David Reeves with a tally of 13. Carlisle United supporters voted one of these goals, a 35-yard free-kick against Shrewsbury Town, as their second best goal of all time. Davey went on to make 132 appearances for the club and scored a total of 23 goals. In February 1995 Davey was sold to Preston North End for £125,000. At the end of that season, Carlisle won the Division Three Championship and although Davey had already left the club he had played the minimum requirement of 26 games to qualify for a Championship medal.