Phelan has found himself in the unfamilar position as a No.1 manager after spending many years as an assistant manager with Manchester United and later under Steve Bruce at Hull.
Bruce's departure was unexpected and Davies himself was shocked by the former manager's decision to resign, as he had told the defender the day before he stepped down that he was trying to sign new players.
"It was a shock, I wasn't actually there the day that the manager left. The day before the manager actually pulled me aside and told me to rally the troops and make sure they knew he was going to try his best to get players in," he told 'Sky Sports News HQ'.
"Obviously my phone was going ballistic and I found out the manager had gone. It wasn't nice, the grass isn't always greener on the other side and I was sad to see him go".
Despite the well-liked manager's departure, Phelan has stepped in and done an impressive job, winning two of Hull's opening three league games and beating Exeter in the EFL Cup, and now Davies expects Sir Alex's Ferguson's ex-assistant to get the job.
"I think the continuation [of Phelan] has been a big thing. He obviously takes the training, he has been our first team coach for a year-and-a-half now and the fact that he has continued with that, he has kept his style going and also he has brought a relaxed mentality to us, Davies added.
"I think early on in this we didn't know whether he was going to get the job or not, whether he was going to be here for a couple of days, a week - it is looking more likely that he is going to take the job".
Hull started the season with just 13 fit senior players, but Davies said the squad is incredibly close.
"It's a very close squad, I've said on numerous occasions it is a close squad anyway, whether we have 24 senior fit players or the 13 we had, we are very close," he said.
"When we had the huddle [before the game] we said this is all we've got but I wouldn't want to go to war with 10 other players other than you lot".