The 35-year-old volleyed his side ahead 13 minutes from time, before Chris Eagles sealed the victory in stoppage time.
Coyle said: "I thought Kevin Davies was outstanding tonight. Even if he hadn't scored the goal he did, I thought it would still have been a man-of-the-match performance.
"He won every header that came his way, he led the line and he showed what the football club means to him.
"He's a real man's man and obviously we're very fortunate to have him here as captain."
Davies has scored 68 goals in 318 league appearances during nine full seasons at the Reebok Stadium.