Abel Hernandez marked his debut in style with a powerful header to give the hosts a 39th-minute advantage on Monday, but Enner Valencia fired Sam Allardyce's men level with an astonishing 25-yard strike.
Mohamed Diame was making his maiden Hull appearance after leaving West Ham on deadline day and the midfielder made his former employers pay in the 64th minute when he coolly capitalised on some slack defending to restore City's lead.
But Diafra Sakho, like Valencia starting a West Ham match for the first time, drilled across goal three minutes later and his shot evaded goalkeeper Alan McGregor to strike Davies and roll over the line.
"Obviously, for ourselves going up twice, especially with the second one conceded so early after scoring, was disappointing," centre-back Davies told Sky Sports.
"To be fair to West Ham they gave it their all, had a few chances and I think a point apiece was a fair result in the end."
Hernandez caught the eye with an imposing display capped by his goal and his new captain led the plaudits.
"Usually you'd say he needs to get up to the pace of it but I don't think the finishing side of it was a problem," Davies said.
"Maybe he needs to get used to the physical side of it a little bit - having to deal with big [James] Tomkins and [Winston] Reid but I thought he did really well.
"He had a great effort in the second half where he instinctively just took it on his chest and Adrian's made a good save.
"He looked good. Hopefully he can keep that up for the rest of the season and get us double figures."
Davies reflected on the disappointment of netting what looks likely to go down as an own goal, but he urged his team-mates to get any collective malaise out of their system before their trip to struggling Newcastle United.
"It's disappointing because, as a defender, you try to do the right thing and get yourself in the right position," he added.
"It's just come off McGregor's fingertips and gone through his legs. If it goes down as an own goal then unfortunately it is.
"I'm just disappointed it went in regardless. That's the disappointment and we have to get ourselves ready for a big game up at Newcastle because they'll be looking for a reaction and hopefully we can keep them quiet."
