When the inning was finished, Davis retreated to the tunnel behind the Arizona dugout and vented his frustration.
"I kind of kicked myself after the first inning," Davis said. "It was really frustrating, I was trying to do too much. I blew up a little bit. I just yelled and screamed like a baby."
Pitching coach Bryan Price then told Davis to stop worrying about his mechanics and focus just on competing.
Instead, Davis dug a deeper hole as Ian Stewart led off the second with a home run.
But then something clicked for Davis and he allowed just one more run -- a homer to Clint Barmes in the fifth -- before departing after five innings.
"He got off to a rough start similar to what we've seen the last couple of games," D-backs manager Bob Melvin said. "But he seemed to find his command in the third and at least got us through the game long enough to where we didn't have to go too deep into the bullpen. A few runs early on really hurt a little bit."
Rockies starter Jeff Francis fared much better than Davis early in the game, keeping the D-backs off the scoreboard through the first four innings. Chad Tracy changed that with a homer to lead off the fifth that pulled the D-backs to within 3-1.
Arizona chipped away with another run in the sixth and then tied the game, 4-4, in the seventh against reliever Manny Corpas.
Melvin turned to setup man Jon Rauch in the eighth. The big right-hander has been money for the D-backs since coming over from Washington last month, but this was not to be his night.
Chris Iannetta started things off with a double high off the wall in center and after a sacrifice bunt, Brad Hawpe crushed a 1-0 fastball from Rauch over the wall in center for a 6-4 Colorado lead.
Hawpe was 3-for-3 with a pair of doubles and a walk to go along with the game-winning blast. Melvin said he might have walked Hawpe had Rauch fell behind 2-0, but felt like Rauch had the weapons to get him to pop up or strike out.
For his part, Hawpe said he was looking for a fastball up and in because that's the way the D-backs have been pitching him.
"We feel good when he's out there, there's no doubt about it," Melvin said of Rauch. "This is really the first time he's given up some runs at a big point in time in the game."
The D-backs mounted one last rally in the ninth off Rockies closer Brian Fuentes.
Augie Ojeda worked a one-out walk and pinch-hitter Chris Burke blooped a single to right to put runners at first and second.
A single by Stephen Drew scored Ojeda while Burke went to third and Drew moved up to second when the throw went to third. Fuentes then struck out Chris Young for the second out and the Rockies intentionally walked Conor Jackson to bring Dunn to the plate.
It was just the situation the D-backs envisioned when they acquired the slugger from the Reds on Monday. Fuentes is tough on left-handed hitters, though, and after Dunn worked the count full, he hit a shot up the middle.
Unfortunately for Arizona, the Rockies were playing him to do just that, and shortstop Troy Tulowitzki fielded the ball and fired to first to end the game.
"They positioned it right," Dunn said. "That's why I was brought over here and to not get the job done, that's very frustrating for me. That's disappointing because this team fights and it's fun to be a part of and it just stinks that we were in that situation and I couldn't come through."