Davies saved his best throw for the final round of shot, unleashing a 13.78 metre effort that earned him bronze.
Denmark's Jackie Christiansen won gold with a new Paralympic record while Croatia's Darko Kralj claimed silver.
But Davies, who finished fourth in the shot at last year's World Championships in Christchurch, certainly had no complaints about his performance and can't now wait for the discus - his preferred event.
"The shot is my second event, to be honest I didn't expect it. I wanted to be in the top ten, maybe the top six, but I didn't expect a medal," he said.
"I'm just overwhelmed. I can't believe it, honestly I can't. I feel so pleased and my hard work is finally paid off.
"The discus is my competition and I couldn't be more confident about that now. I know I've got a big, big throw in me.
"I've got lots more to bring to the table and I've got a bit of a taste for winning medals now and I want another one, maybe even another colour one.”
Shelly Woods was all business as she progressed with ease into Sunday's 5,000m final.
Wheelchair racer Woods, in the first of four events at the Games, finished third in her heat in a time of 13:12.25.
World record holder, Canada's Diane Roy, the USA'S defending champion Amanda McGrory and Switzerland's Edith Wolf will be the names to beat.
But Woods, a bronze medallist over the distance four years ago, is confident of an upgrade.
"It was absolutely amazing. I've never experienced anything like it, it was immense," she said, after being roared on by the 80,000 strong capacity crowd.
"There are so many people out there and I guess you can take it in different ways, but for me it can only be good because they are all shouting for me.
"The aim was top three and to qualify. It was very tactical and most of them were quite cagey. But it's job done."
Meanwhile, London 2012 organisers have apologised after awarding the wrong medals to three athletes during the opening athletics events at the Olympic Stadium.
Inaccurate data was used to calculate the result of women's F35/36 discus, in which distances are translated into a points scoring system based on level of impairment and performance.
China's Wu Qing received her gold medal but was demoted to silver, while Ukraine's Marila Pomazon, initially second, received an upgrade to gold.
But Australia's Katherine Proudfoot dropped from third to sixth and will now have to hand her bronze medal to China's Bao Jiongyu.