Stevenage were renowned for their determined style in boss Graham Westley's previous spell in charge and their high-tempo game proved too much for Crewe, who were undone three times inside 10 first-half minutes at Gresty Road.
Portuguese striker Filipe Morais was cool and composed when he ran onto Francois Zoko's flick-on and clipped a classy finish over Steve Phillips in the 10th minute.
Luke Freeman then doubled the advantage three minutes later when he drove in from a tight angle after his initial effort was parried by Phillips.
Morais then produced an outstanding finish for the third as he made the most of Mark Ellis's tame clearing header and lofted right-footed into the far corner for his fifth goal of the campaign.
Davis said: "When you concede three goals in 10 minutes early in the game it is very difficult to get yourself back into it.
"There were some really poor performances from some players and maybe it is down to the ability of the individuals concerned.
"Stevenage did pressure the ball better than us. But we made some shocking mistakes which I didn't expect after two good wins. After the work we'd done I thought we were heading in the right direction.
"We kept it at 0-0 in the second-half which was a positive and Matt Tootle was by far and away our best player. But we've not come from behind in any game this season and we've not shown the fight and character to do that."