Darius Henderson scored a 90th-minute winner at Ewood Park to secure a second Championship victory of the season for the visitors.
"It was a very hard-fought game as we all expected coming here," he told Forest Player.
"Blackburn make it really difficult for you and we knew we had to be resilient in order to keep a clean sheet and win the game.
"We know we're still finding our feet and that we've got things to work on but we'll do that in the days and weeks to come."
The manager praised matchwinner Henderson for his performance and was delighted with the way he handled Blackburn's defence.
"A special mention has to go to Darius Henderson who led the line brilliantly and scored a wonderful goal," said Davies. "He was up against two experienced players in Dann and Hanley but he was superb this afternoon."
Nottingham Forest host Bolton Wanderers in the Championship on August 17.