Davies took Preston to the brink of the Premier League via the play-offs in May 2005 but lost in the final. Despite a difficult start to the 2005–06 season, a 25-game unbeaten run meant Preston went on to qualify for the play-offs for a second successive season although the side again failed to win promotion as they were knocked out by Leeds United after losing the semi-final second leg, after he famously left Elland Road following the first leg issuing the quote "Job Done" to the media, only to lose at home and be knocked out.