While it was Davies' first goal of the season for Southampton, he got three after being farmed out to Millwall and his future at St Mary's remains in doubt once his contract expires in the summer.
Millwall can count themselves unlucky because they out-thought and out-manoeuvred their Premiership opponents and were heading for a deserved win until Davies intervened, snapping up a rebound after Jo Tessem's shot had been blocked by keeper Tony Warner.
Millwall almost took the lead in the eighth minute, when Steve Claridge had a shot cleared off the line by Francis Benali, who was making his first start for almost three years.
Southampton made few chances, but Michael Svensson hit a post in the 31st minute and from the rebound his namesake Anders had a shot cleared off the line.
Southampton were indebted to keeper Antti Niemi who blocked long-range free-kicks from Reid and then kept out a shot from Paul Ifill.
Southampton should have equalised in the 74th minute against the run of play, when a pass from Anders Svensson played Tessem clear, but he could only drill his shot in to the body of onrushing goalkeeper Warner.