The Perth side’s double-cup winning boss was understood to be on the shortlist of preferred managerial candidates to replace Frankie McAvoy after the former Hamilton coach left Deepdale on Monday night.
Davidson, who made over 180 appearances for the The Lilywhites between 2004 and 2011, including a spell as captain, was immediately installed as second favourite for the English Championship vacancy on bookmakers’ markets.
However, the man who guided St Johnstone to unprecedented Scottish and League Cup glory last season has been overlooked by his former side, who have instead turned to Plymouth Argyle boss Ryan Lowe.
Preston confirmed the appointment of Lowe on Tuesday afternoon, who leaves Plymouth flying high in League One on the back of a recent 17-game unbeaten run. Preston, meanwhile, are 18th in the Championship, nine points above the relegation zone.
Saints will be relieved to hold on to their manager after a silver-laden and historic first season in charge after replacing Tommy Wright.
As well as reaching and winning both Hampden finals, Davidson guided the club to a fifth place finish in last season's Scottish Premiership.
He took the Perth club into Europe this season and claimed notable results including away draws at Galatasaray and LASK.
After losing key men Jason Brown to Wigan and Ali McCann to Preston in the summer window, St Johnstone have struggled to get going this term.
They currently sit tenth in the Scottish Premiership with 14 points from 15 games, while the ir League Cup defence ended in a semi-final defeat to Celtic last month.