Davis, a £750,000 summer signing from Sunderland, had earlier made two outstanding saves with his legs from Chris Sedgwick and the lively David Nugent.
But after 50 minutes, Davis allowed a 25-yard free-kick from Simon Whaley to go through his hands and between his knees to dribble over the line for the softest of goals.
Until then Southampton had just about deserved their lead, but the goalkeeper's nightmare moment visibly rocked George Burley's side and they were never the same force again, despite having plenty of possession.
Preston had the better early chances with Nugent posing problems with two runs down the right, while at the other end Bradley Wright-Phillips should have done better with a turn and shot from ten yards.
But Southampton went ahead in the 43rd minute after a shot from Andrew Surman had been well blocked by goalkeeper Carlo Nash.
From the corner on the left, taken by Rudi Skacel, Surman flicked on and Grzegorz Rasiak went full-stretch to head in from six yards.
Then came Davis' blunder and suddenly Preston looked the side more likely to score.
Davis caused more alarm among the Southampton supporters when he failed to hold on to a dangerous in-swinging free-kick from Danny Pugh, but the Saints survived.
Southampton built up some pressure in the last 15 minutes and Nash, diving to his right, saved a stinging shot from substitute Jermaine Wright.
Preston had three players cautioned at a time when the hosts' pressure began to tell.
Nugent and Sean St. Ledger were booked for fouls and Pugh for dissent, but by the end a draw seemed to be the appropriate result.
Preston manager Paul Simpson withdrew Nugent towards the end and brought on Lewis Neal, while Patrick Agyemang took over from Daniele Dichio in the 77th minute.
Southampton manager Burley gave a full League debut to 17-year-old midfield player Adam Lallana, but he lasted only until half-time, when the more experienced Wright took over in the centre of the park.
Burley also freshened his attack by giving a run to pacy winger Nathan Dyer in place of Surman, while Trinidad & Tobago striker Kenwyne Jones replaced goalscorer Rasiak.