The 40-year-old played under Grayson at Deepdale for two years when he signed from Bolton Wanderers in 2013.
Now retired from the game, Davies made more than 800 career appearances in a 20-year career , which also saw him play for Chesterfield, Southampton and Blackburn Rovers, as well as winning one England cap.
He ended his playing days after his spell at North End, helping the club to promotion from League One via the play-offs in 2014.
Davies revealed he was very impressed by Grayson’s style of management and believes the former Deepdale boss took the view that joining the Black Cats represented a better opport unity of fulfilling his ambition of managing in the Premier League.
“He’s a very ambitious manager and he wants to get to the top,” said Davies.
“I enjoyed my two years working for him and he’s a very hard-working manager who never took a day off.
“He brings together a fantastic team spirit and has an eye for a player.
“He loves to develop those players and create a hard-working and well organised team.
“The problem at Preston though is that it’s run on an incredibly tight budget; one of the lowest in the league.
“I think considering the lack of investment on the playing staff and the wages they pay to reach 11th in the Championship last season was tremendous.
“ I think though that he wants to keep climbing the ladder and he views Sunderland as a chance to gain promotion and get into the Premier League.
“That’s where he wants to manage.”
Despite his admiration for Grayson, Davies believes North End have made an astute decision in appointing Alex Neil as his replacement.
The former Norwich City manager takes charge of his first competitive game this afternoon when PNE welcome Sheffield Wednesday to Deepdale on the opening day of the new Championship season.
Davies believes the fans might enjoy the more expansive style of play that Neil advocates, although thinks a play-off place may be beyond the team once again
“I think with how Preston are managed; don’t get me wrong, Trevor Hemmings and Peter Ridsdale run it like a business and that club is in safe hands and is run in the right way.
“I respect them for that – but in terms of getting into those play-offs is going to be incredibly hard.
“I know that teams like Huddersfield have done it but you need that little bit more investment.”
“What Alex Neil will inherit is a hard-working team with good team-spirit.
“Alex had a lot of success at Norwich with the promotion and having spoken to people from around there he will be looking to change the style of play at Preston.
“Whether that is more attacking or playing out from the back I’m not entirely sure but you do have to be careful.
“ I’ve been at clubs where you try and transform the style of play and that can take some time.
“It will be interesting to see how the players adjust to that and it’s ever so important that they get off to a good start.
“The Preston fans were perhaps a little bit reserved with Simon Grayson because the football was more defensive-minded where things were kept nice and tight then we looked to get something on the break or from a set piece.
“So it may be a better style of football for the fans to see.”
Meanwhile, Davies reserved a special mention for fellow striker Jordan Hugill.
The centre forward arrived at Deepdale from Port Vale as a young raw talent when Davies was leading the front line.
A little bit wet behind the ears back then, Hugill has developed enormously during his time at the Deepdale.
A talisman figure, the 25-year-old has been the subject of million-pound bids from Ipswich Town and more recently Birmingham City.
“I’m delighted for Jordan. He’s had to get where he is through pure determination and pure graft.
“He was a member of the Glenn Hoddle academy and is a great example for young players coming through because lots of players do get released from their clubs.
“When he first came to the club I wasn’t quite sure what level he’d be but he’s really impressed me with his attitude and he scored 11 goals last season.
“He got his opportunity through Joe Garner, Jermaine Beckford and myself leaving and he can develop now.
“Simon Grayson rewarded him last season and he’s a real handful and a good targetman.
“He’s probably a nightmare to play against and he clatters into defenders at times but he’s added goals to that now.
“ It doesn’t surprise me that he’s being linked to other clubs and it will be interesting ti see if Preston hold onto him.
“I think they’ll need to this year.”
Kevin Davies was speaking exclusively to 888sport