The 19-year-old has featured in all four of the Toffees' ties in the tournament, most notably impressing at right wing-back in the 1-0 third qualifying-round win in Ruzomberok.
Davies insists that an away game against an Atalanta team that finished fourth in Serie A last term represents a perfect chance for the Blues to stamp their authority on their group.
"This is a game we need to win, especially coming after Saturday's result," Davies, referring to the 3-0 defeat by Tottenham Hotspur, told the Everton website. "We want to get back to winning ways immediately.
"It is the first game in the group and I am sure the lads will be up for it and determined to get the three points straight away.
"I have enjoyed the Europa League games a lot. It is the first time I have played in Europe, so for me it is all new and exciting.
"As a player, I have always wanted to win a European trophy. We have the opportunity to do that now. This game is a chance to show the competition how good we are – and I am sure we will do that."
Group E also contains French outfit Lyon and Apollon Limassol of Cyprus.