Saints ended their seven-year exile from the Premier League after securing automatic promotion from the second tier last season, although life back in the big time has proved difficult so far.
Nigel Adkins' side have suffered five defeats and, while both Manchester clubs and Arsenal are included in that statistic, they have just the one victory to their name - a 4-1 defeat of Aston Villa in their last home match.
For Davis, it has been difficult to get used to negative results after a sustained spell of success with Rangers but, having beaten former club Villa, the midfielder is targeting a similar result when Fulham come to St Mary's tomorrow.
"I think it is obviously a different pressure," the Northern Ireland captain, who joined Saints in the summer, said.
"The rest of the lads here are used to winning as well over the last couple of season so everybody's hurting.
"But there is also a realism that you're playing in the Premier Lea gue and every match is tough.
"You need to fight to get results in each and every game, but I think for large periods in each and every game we've showed we're capable of playing at this level.
"It is just about ironing out the little mistakes that have cost us.
"We've looked at it and we've had a tough start to the season in terms of the fixtures.
"We played against some of the top teams but we're now going into a run now where hopefully we can start picking up some points.
"If you're going to achieve anything in any season your home form needs to be good and hopefully on Sunday we can go and get a positive result for the fans."
As well as looking to secure three points on Sunday, Davis is looking forward to catching up with a few old faces.
The 27-year-old only spent a brief period with Fulham during what proved a difficult 2007/08 season for the club, but he still has fond memories of his time in west London.
"I was only there for a short period of time," Davis said. "It was a difficult time for the club in terms of results.
"The team only narrowly missed out on relegation that season but I still have fond memories of playing for the club. It was a good place to go into work every day.
"It was difficult. I had gone there having not played a great deal of football over the six months previously.
"I went there and obviously the team struggled there a little bit and if it wasn't for a run towards the end of the season they would not have stayed up.
"I was only there for six months and then I went on loan to Rangers so it was a short period of my career but a good experience as well."
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