Although brought up to the episcopal church, when only 13 years old he began to go to dissenters' meetings, and used to follow one independent minister when he preached at considerable distances.
Shortly before the termination of his apprenticeship he visited Welshpool, and, going with his parents to church, interrupted the preacher, for which he was arrested, but discharged by the magistrates, as his offence was not sufficient to constitute legal brawling.
Finding three other men of like mind, he commenced to worship with them on a hillside in Quaker fashion, for which he was avoided, and underwent some petty persecution.
His converts were severely persecuted, and Davies, whose influence was considerable, was instrumental in relieving the wants of those who were confined in overcrowded prisons, as well as in obtaining the release of a large number.
Lord Herbert refused to use his influence to liberate the Friends altogether, but obtained for them so much liberty that they were allowed to leave the prison and go where they liked so long as they did not return to their homes, and Davies seems to have been instrumental in providing a house for their use.
In 1662 he was again arrested at Welshpool, but was offered his liberty if he would consent to go to church the following Sunday, which he accepted, and insisted on speaking both during the morning and evening service.
From this time the relief and liberation of the suffering Quakers seems to have been his real business, and he never hesitated to urge them to take any advantage a faulty writ or technical error might afford.
In his Accoun he gives a very amusing narrative of an interview he had on behalf of imprisoned Friends with Lord Hyde at Whitehall, and of another with Earl Powys, who, he records, never allowed the Quakers to be fined for not serving on juries, or otherwise offending for conscience sake, in any places where he had influence.
In 1702 he was one of the 12 Quakers sent by the yearly meeting to present an address to the queen and to have acted as spokesman, after which he returned to Wales, going round by Worcester in order to stop with his firm friend Dr. Lloyd, who had been translated to that see from St. Asaph.