The Owls were downed by Radoslaw Majewski's first-half winner, which ended a seven-game unbeaten run in the npower Championship and clinched a third successive victory for Forest.
"In the first 45 minutes our play was outstanding, we should have been more than one goal in front," Davies said.
"In the second half we knew we would have to change our game, but in the end that was a very good win.
"Their tails were up, they have been on a good run, coming here you know what you get. In the second half we showed a different type of game. This was a man's test because they are a strong side.
"I'm very proud of the performance, it's a great three points, delighted with the clean sheet."
The win keeps Forest's unbeaten run going since Davies returned to the club last month and moves them into play-off contention, though he is keeping grounded.
"We have got to find consistency in team selection, we have got work to do," he added.
"In the short term we have got a great spirit, we are working very hard at the minute and we are pleased, but we're not fooled. This is a very tough league."
Forest won courtesy of Majewski's fifth goal in three games. The midfielder was on hand to slide home in the 27th minute following a superb run from Simon Cox
