Wales start their campaign against the United States on Monday to end the longest wait of any nation between successive appearances at the finals.
On playing at the World Cup, Davies said: “It’s more a feeling that we’ve done the Euros so what’s the next step we can take.
“By reaching the World Cup and to have the chance of doing something special, that’s a feeling which is difficult to describe.”
Five players – skipper Gareth Bale, Aaron Ramsey, Ethan Ampadu, Chris Mepham and Jonny Williams – did not train at the Al Sadd Sports Club in Doha on Saturday due to managing workloads.
All five will be fit to face the US, with Swansea midfielder Joe Allen the only injury concern as he continues his recovery from a hamstring problem, and Davies said Wales were embracing their World Cup experience.
He said: “Euro 2016 was something new to us all, travelling around Europe to play in a top competition, that was something different.
“There’s a similar feeling now, a new feeling for us facing teams we’ve not played against before.
“To be honest, it’s a success for us as a country just to qualify for a World Cup.
“But that doesn’t mean we don’t have a lot of ambition to do something special in this competition.
“I want to play for Wales as long as I can. I’m concentrating on this one now, but I’d like to be in future competitions too.”
Wales have also found a new supporter in the shape of Brazil’s most-capped player, the former full-back Cafu.
— Wales 🏴 (@Cymru) November 18, 2022
The two-time World Cup winner has created a stir in Wales by appearing in a sponsor’s video wearing a Welsh bucket hat and with a vase of daffodils beside him.
There was also a ‘Wales Golf Madrid’ sign behind him – a reference to Bale’s so-called priority list during his time in Spain – as Cafu said: “Cymru, croeso nol (welcome back).
“You last played in the World Cup 64 years ago. Your return has been an inspiration to everyone, including me. Good luck boyos. Iechyd da (cheers).”
Davies said: “I saw the video and it’s class. It’s strange to see someone like Cafu wearing a bucket hat and trying to speak a bit of Welsh.
“But it’s great, and it shows we’re doing all the right things on and off the pitch.
“We’re on camp and really excited for the games to start. I’m sure when the games start, it will feel very different because the teams we’ll be playing against will be different.
“We know the first game is so important. We’ll have to start well in the first 10 minutes, keep our heads and stay calm.
“We’ll need to relax as much as we can beforehand and raise our game.”