All the goals came in the second half as Alex suffered their first home defeat of the season - and their first defeat to the Saddlers in nine outings going back to 2001.
"I'm really disappointed," said Davis. "We didn't show any fight or character.
"The full-backs were poor, the wingers didn't do anything of real note and there was no aerial threat upfront. Nobody played with any real quality, composure or skill.
"I've had a lengthy chat with the players and they need to know it's nowhere near good enough."
Quick-fire goals from Craig Westcarr, the second coming from the penalty spot, and another from substitute James Baxendale gave Walsall the win.
And it could have been four for the visitors as Sam Mantom smashed an effort against the crossbar from outside the box in injury time.
Despite Crewe's dreadful display, Davis felt his side could have got something out of the game if they had scored first.
He added: "There were no real chances at either end in the first half. We had a couple of little chances but once they scored the goal we didn't show any fight to get back in the game.
"If we'd got that first goal I think things could've been very different.
"It's just really stupid things that we're doing, it's frustrating. We've conceded poor goals all season and we work with the players all week but when it comes to the game, they don't do it at all.
"I need to get to the bottom of it and I've done everything I can at the moment to rectify it."