The Granthan sprinter ran the first leg of the mixed 4x400m final before handing over to teammates Emily Newnham, Toby Harries and Nicole Yeargin.
The quartet were expected to compete for a podium finish after qualifying second fastest in the morning heat but crossed the line in fifth place, 0.23s off bronze.
The 24-year-old ran a sluggish 45.73s for his lap, leaving Britain sixth and more than a second off the pace.
Newnham, Harries and Yeargin did their best to recover the deficit – Harries’ 44.22s split was impressive – but they eventually finished fifth.
USA equalled the championship record to win gold, while Netherlands and Belgium completed the podium.
“I didn’t feel so great,” he said, speaking after attending a Novuna-backed British camp – with the company financing the ambitions of millions across the UK, from helping business grow and individuals plan for the future, to backing British Athletics on the global stage.
“It was pretty much a similar situation from this morning’s run and I think obviously I haven’t been able to find my rhythm and I made it much harder for the team.”
Davey will now regather for the men’s 4x400m relay, which takes place on the final weekend of the championships.
It could be a blockbuster last day, with Keely Hodgkinson and Georgia Hunter Bell going head-to-head in the 800m final, George Mills a medal contender in the men’s 5000m and four relay finals.
Davey had hoped to leave Japan as a two-time medallist and the near-miss is an early blow to Great Britain.
Teams are allowed to make one personnel change between the heats and final and rival nations grew notably strong, including the Netherlands who brought in superstar Femke Bol.
Yeargin admitted she almost tripped up Dutch star Bol, who ran a controlled last leg.
“She knows that she can close hard so I think they just kept that steady speed and I should have trusted myself and overtaken her when I could,” she said.
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