The 28-year-old defender completed his move from Birmingham to the KC Stadium on Tuesday when he signed a three-year deal, with manager Steve Bruce preparing for life back in the top flight following their promotion.
Former West Brom and Aston Villa player Davies knows from experience how difficult the challenge will be, but is confident the Tigers can more than make a fist of life in the big time.
He told the Hull Daily Mail: "It is a massive challenge for the club, but regardless of your squad, the new boys will always be favourites to go down.
"It is up to us to change that perception and we will do that through our performances. We will be underdogs in nearly every game, but that can work in your favour.
"This is an ambitious club - if we stay together as a group, work hard and give everything we can, then we can give it a really good go."
Davies joined Hull after almost two and a half years at St Andrews, and admits he did not have much of a decision to make after being offered the opportunity to work under former Manchester United defender Bruce.
He said: "Steve was the difference between having a decision to make and this really being a no-brainer for me. I know Steve has liked me for a number of years and I know he doesn't want to change my game, which is great for me.
"He's done it as a manager and he was a great defender who played at the highest level. He's one of the best for me to learn from and I believe I can become better playing under him.
"Obviously, playing in the Premier League was a big factor too, but the chance to play under Steve was too hard to turn down."