The 25-year-old broke the Paralympic record three times on the way to winning gold in Rio.
He threw new bests in the first, second and third rounds, setting a new mark of 15.97 metres with his third throw.
“I’m not really happy with the distance because I’m in shape to throw close to 17m and I really did want to knock it out of the park,” said Davies.
“It’s the Paralympic Games and, at the end of the day, no-one cares what you throw – it’s all about who comes first and I’m just happy I can walk away with that gold.
“I’m so happy now, it’s hard to put into words.”
Davies won bronze in the shot at the 2012 London Paralympics, where he also won gold in the F42 discus.