Davies is openly gay, coming out publicly on 27 February 2011 in an interview with The Daily Telegraph. He had come out to his family five years earlier and was already out to his teammates. He became the first international cricketer to announce his homosexuality.
- http://www.telegraph.co.uk/sport/cricket/8350779/Steven-Davies-England-cricketer-announces-he-is-gay.html "Steven Davies: England cricketer announces he is gay" Daily Telegraph, 27 February 2011
- http://www.telegraph.co.uk/sport/cricket/international/england/8351718/Steven-Davies-has-full-backing-of-England-squad-after-announcing-he-is-gay-says-Ian-Bell.html "Steven Davies has full backing of England squad after announcing he is gay, says Ian Bell" Daily Telegraph 28 February 2011