It looked as if Warrington, four-time Challenge Cup winners since 2009, were on course for victory at 6-2 ahead and with time almost up at a rain-swept Wembley Stadium.
Davies, however, pounced in the 78th minute as Warrington failed to defend a grubber kick into their in-goal area.
But the wing’s try only levelled the scores at 6-6 and it still needed a conversion from Mikey Lewis to seal the win for Hull KR, previously without a major trophy in four decades.
Victory meant the Robins, beaten just once in 13 Super League games so far this season, kept their double hopes alive after lifting the Challenge Cup for only the second time in their history.
Hull KR last won the Challenge Cup in 1980 when they beat local rivals Hull FC. (AFP)