The goalkeeper, who captained the Reds to League One promotion last season, opted not to renew his contract at Oakwell, instead opting to join Stoke.
Life will be different around the South Yorkshire club without Davies, who admits he will miss the people.
He said: “I think my main thank you to Barnsley Football Club is that this place has honestly helped me to grow so much as a footballer but more importantly as a man.
“It has been an honour to be your captain and I wish the club nothing but success going forward.
“I feel now we’ve worked so hard to get back into the Championship that this club can progress again, you’ll forever be in my heart.
“I want to thank the people that the fans never really see. On the football side there are people working day in, day out to try and make the team better, organise anything and everything they can for us to have an easy day training or to learn something about the opposition.
“As well as on the football side, there is the office side too that work just as hard to ensure things are done, we’re all given the help we need and these people work tirelessly for the players and the club as a whole.”
The Reds have signed Samuel Radlinger and Brad Collins to replace Davies.