The Tigers' first game back in the Barclays Premier League since 2010 was a trip to Stamford Bridge in August, with the hosts celebrating the return of Jose Mourinho.
The Blues immediately took charge of proceedings and were 2-0 up inside 25 minutes, a scoreline that might easily have been extended in a one-sided first half.
But Hull improved steadily as the match progressed, particularly after the introduction of summer signings Tom Huddlestone and Jake Livermore, and the second period was much more even.
Since then, Steve Bruce's side have put together an impressive sequence of results to lie 10th going into the weekend fixtures.
Now they have the chance to show Chelsea how they have progressed and Davies is ready for the challenge.
"Against Chelsea on the opening day, the first 25 minutes shell-shocked us," he conceded.
"It was a lot of the players' first game in the Premier League, it was on TV and with Mourinho going back, there was a lot of hype away from the football side of the game.
"It was a tough start and I think whoever they played at that pace, it would have been hard for them to compete.
"The fact that we managed to come through that 2-0 and make a fist of it in the second half, meant we grew in confidence.
"We knew it wasn't going to come much harder than that, so it was a blessing in disguise as such.
"I think we're a better side now. We're confident we can beat anyone at the KC Stadium.
"But we're not going to kid ourselves that if both of us are at 100 per cent, that we're going to outplay Chelsea and win. We know we have to be right on our game and maybe a side like Chelsea has to be slightly off it."
Bookmakers will still make Chelsea strong favourites, but two of the biggest sides to visit Hull this season have shown Davies' attitude is not misplaced.
Liverpool were beaten 3-1 on December 1 and Manchester United had to overturn a two-goal deficit to win on Boxing Day.
"If we're at our game and we do the right things in terms of frustrating them and staying solid, force them to go a bit gung-ho, then that will create spaces behind them and that's our chance," said Davies.
"We beat Liverpool and we can take a lot from that. We took the game to them and even though they equalised, we had the character not to put our heads down. We gave it a good go and I was happy to see us creating so many chances.
"Against United, we went 2-0 up too early and they were able to throw the kitchen sink at us.
"These games, they're tough. It's just important that, whatever happens, you can take positives out of it."