Davies beat three would-be tacklers on a mazy run to the edge of the penalty area and arrowed an unstoppable shot into the top corner midway through the second half to regain the lead for the visitors.
Wednesday midfielder Ross Barkley had converted a penalty three minutes earlier to cancel out Spanish defender Marcos Alonso's first goal for Bolton, but the south Yorkshire side crashed to a fourth straight league defeat.
Owen Coyle's Wanderers lost 2-1 at Birmingham in midweek and were under pressure to bounce back from a third loss in their opening six league matches following relegation.
Owls manager Dave Jones made six changes to the team beaten by Huddersfield in midweek, with defenders Kieran Lee, Anthony Gardner and Daniel Jones, midfielder Rhys McCabe, plus strikers Lozano Rodri and Nejc Pecnik all returning to the starting line-up.
Midfielder Keith Andrews, in for Lee Chung-yong, was Bolton's only change.
Not until the 15th minute did Wednesday muster their first shot, but it was worth the wait, McCabe slamming a 30-yard free-kick against Adam Bogdan's post.
Owls winger Michail Antonio forced Bogdan into a smart save soon after, while Chris Eagles was first to threaten for the visitors, with a 25-yard shot that flew wide.
Bolton striker David Ngog then set up Eagles on the edge of the penalty area, but the former Manchester United midfielder skewed his effort off target.
Eagles went closer with a lob over the crossbar from the right side of the area in the 33rd minute as Bolton took charge and it was no surprise when Alonso cashed in on some sloppy defending.
Another Eagles shot was deflected to safety and when he swung over the subsequent corner Alonso was left free to head into the bottom corner.
Wednesday rallied at the end of the first half as Lee's shot was blocked by Andrews and Rodri's 20-yard drive was saved by Bogdan.
Bolton continued to look the better side after the restart, but were unable to carve out any clear-cut openings before Wednesday equalised against the run of play.
Gardner bounded forward for a corner and was brought down by Andrews in the penalty area, leaving Barkley, on loan from Everton, to tuck his spot kick into the bottom corner.
But parity was short-lived. Kevin Davies slipped the ball to namesake Mark and the midfielder embarked on a thrilling run, leaving three defenders in his wake before rifling an unstoppable shot into the top corner.
Barkley dragged a shot wide when well placed and Antonio was wayward with his header from Pecnik's corner off as the hosts strove for a second equaliser.
But Bolton substitute Benik Afobe forced Owls goalkeeper Chris Kirkland into a fine save with an angled drive in the 73rd minute, and Wednesday's best effort in the closing stages fell to Pecnik, who crashed a 20-yard volley over the bar.