The centre-back began his career at hometown club Middlesbrough before completing a permanent move to Southampton in January 2008 following a successful loan spell at St Mary's.
Just 25 appearances in 2007/08 was enough for Davies to be named Saints' player of the season and he duly caught the attention of Tony Pulis who took him to the Potteries in August 2008.
The 25-year-old has been a peripheral figure at the Britannia Stadium, enjoying loan spells at both Preston and Sheffield United.
And he now arrives at the Banks's Stadium looking to boost a Saddlers side in desperate need of points at the foot of League One, and represents part of the recent promise made by chief executive Stefan Gamble "to bring in a couple of new faces in order to freshen things up".
Manager Chris Hutchings said: "Andrew is a player with an exceptional pedigree who has played the majority of his football at Premier League level. He is a commanding defender with real quality and we are grateful to both Tony Pulis and John Rudge for allowing him to join us on loan."