Davies told the Sunday Mirror: "What happened to me was pretty horrible.
"Especially when I found myself back at Southampton after it all went so wrong at Rovers.
"But I had problems from the start and they only got worse because the dressing room was so cliquey and the fans turned against me."
Davies made only 24 appearances and scored just once, injury and illness adding to his woes, and was shipped back to the South coast for a seventh of the price paid for him - yet his humiliation had only just begun.
He added: "Gordon Strachan made it plain he didn't fancy me and first I ended up in the reserves, then out on loan to Millwall before finally hitting bottom when I found myself working with the youth-team players.
"That really did feel like the end for me. For a while I believed I was on the road to nowhere."