The 20-year-old from Swansea, who was named IRB Junior Player of the Year in 2013, kicked all of his side's points on Friday night to seal a fifth straight GUINNESS PRO12 win for the league leaders after coming on to replace the injured Dan Biggar.
"This is always a tough place to come because Zebre are a growing team," Davies said to Wales Online.
"Thankfully, I went on and was able to stay mature. Fortunately, I put in a half-decent performance. I was switched on and was waiting to go.
"I don't think any of the Welsh teams won here last season, so we'll take it and now we're five from five in the league."
The Welsh outfit got off to the worst possible start, however, as centre Giulio Bisegni rounded off a fine Zebre move to touch down after just five minutes.
The hosts led for much of the match and went further ahead through the boot of Gonzalo Garcia.
But the game was turned on its head with the introductions of Davies, Rhys Webb and British & Irish Lion Alun Wyn Jones and a late Ospreys surge resulted in Davies stepping up to kick over and secure victory in front of the Zebre faithful.
Click here for the best images from Ospreys' narrow 15-14 win away at Zebre.
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