Bellamy has demanded high standards and an adventurous style from the team he inherited from Robert Page, who was sacked in July.
That positive attitude saw Kieffer Moore put Wales ahead after just 37 seconds in Montenegro, before Harry Wilson doubled their lead with a fabulous 25-yard strike two minutes later.
But it was their battling qualities that impressed the new boss, with Bellamy declaring: “I’m extremely proud. I love this group, I really do.”
“He [Bellamy] was very happy,” added Davies.
“I think in games like that it becomes a bit more of a fight than about the quality that we are capable of.
“That’s what we did tonight; we fought, we gave our all. It was pretty tough conditions but sometimes you get just as much enjoyment out of getting through those.”
The game was originally scheduled for Montenegro’s capital Podgorica but was moved because of a sub-standard pitch at the National Stadium.
However, while Niksic’s City Stadium looked a much better surface pre-match, it soon deteriorated in torrential rain.
Davies believes the result shows the character and togetherness in the squad.
“There’s probably a million things we could have come up with that were against us tonight,” said Davies.
“On paper people might say we’re favourites and may have better players but the reality is when you come to places like this they are some of the hardest games you’ll play.
“It’s the conditions, it’s the atmosphere, it’s the travel, it’s all against you at times.
“But I think as a group we made a pact to say that we aren’t going to have any excuses and before we got here we were ready for the fight.
“You could see by the way we started we came out with loads of energy, we even tried to play some football in a similar way to what we did the other day, but I think we soon realised the conditions weren’t really there for that and we had to adapt and that’s what we did.”