Wales have still never won in South Africa after 50 years of trying and it all started so well for them as Davies' fellow Lions Alex Cuthbert and Jamie Roberts both crossed for first-half tries.
But after South Africa snatched victory from the jaws of defeat, Davies admitted his side had only themselves to blame.
"It is devastating," he told the South Wales Evening Post. "To have the game - 13 points up with ten minutes to go - and let it slip is a tough pill to swallow.
"At the end of the day it's hats off to South Africa for getting back in the game. We put it down to our errors again and we let them back in.
"We bounced back from last week's hugely disappointing performance and gave a performance that probably deserved a win. But at the end of the day we didn't win and it's a result-based game.
"We came second best."