In November 1989 he went on loan to Burnley (who already had a player called Steve Davis) and returned to The Dell in February 1990. He made his Southampton debut in a 4–1 victory over Norwich City on 27 February 1990 (in which game Matthew Le Tissier scored a hat-trick). After a run of four games, Davis lost his place to Micky Adams, who was returning from injury. Davis only made two further appearances for Southampton, and then, after a short loan spell at Notts County, in August 1991 he returned to Burnley on a permanent basis for a fee of £60,000.