In August 1999 Davies starred in Leon Pownall's one-man show "An Evening with Dylan Thomas" at the Atlantic Theatre Festival in Nova Scotia, Canada. The following summer he returned to the Atlantic Theatre Festival in Pownall's "Dylan Thomas and Shakespeare: In the Envy of Some Greatness". August 2001 saw the completion of Pownall's Dylan Thomas trilogy with "Stranger in Paradise". In mid-2002, he returned to the Stratford Festival Theatre's main stage in "My Fair Lady", as Henry Higgins, a role he alternated with Colm Feore. He reprised the role of Dylan Thomas at the Festival's Studio Theatre, and returned to the Atlantic Theatre Festival in August 2003 to perform "Hughie" (a one-act play by Eugene O'Neill). The evening was topped off by a presentation of "The Sermon" by David Mamet.