Davidson is now a leading contender to be named manager of the year after backing up Saints' Betfred Cup triumph with a place in both the top six and this month's Scottish Cup final.
But while it has been a remarkable second half to the campaign, things did not always look so promising for Tommy Wright's former number two.
The 44-year-old suffered a bumpy transition into the top job at McDiarmid, with his team winning just two of his first 10 games in charge.
And he admits his worries kept him awake at he pondered if he was cut out for management.
Thankfully as winter approached, Davidson's team finally began to heat up and a red-hot run now leaves the St Johnstone manager just 90 minutes away from becoming the first non-Old Firm boss in 31 years to secure a trophy double.
"There was a time (I worried things might not work out) because we kept playing well and getting beat," he said.
"I looked at all the stats and asked, why are we getting beat when we're dominating teams?
"It was just about that little bit of belief and that little bit of luck too. Sometimes you need both.
"The main thing is the players bought into it. If they didn't think what we were doing was right, I might have had a problem.
"Don't get me wrong, I did have questions at night, asking am I doing the right things? Are we training the right way?
"But all credit to the players as they have definitely turned around the season.
"We believed in what we were doing, that was the biggest thing.
"I put a stat up for the players probably around December time to show the players how well we were playing and what we were doing right.
"I also showed them when we were conceding goals, which was a key factor in us not picking up points.
"I think then they started to believe what we were doing.”