The 39-year-old father of two, from Blaenavon, disappeared after celebrating in Cardiff with work colleagues on 20 December.
His body was found in the River Taff nearly four weeks later.
The service was held in St Peter's Church in Blaenavon at 1100 GMT.
His wife, Michelle, had made constant appeals about his disappearance and circulated leaflets and posters across Cardiff in an effort to find fresh information about her husband.
The couple had been planning a holiday to Australia with their children 13-year-old Justin and Charlotte, 10, in the days before he went missing and his disappearance was considered to be out of character.
Family, friends and family liaison officers from Gwent Police who had been investigating his disappearance attended the funeral.
Separated
On the night Mr Davies, who owned a window design firm based in Talywaun, went missing he became separated from his friends at about 2330 GMT.
He and his friends had spent the day go-karting in Newport before going to Cardiff where they drank at a number of city centre bars and pubs.
Police carried out underwater searches of the River Taff after reports that a man had been swimming there shortly after Mr Davies's colleagues last saw him.
His body was identified through dental records and the results of a post mortem examination are due next week but police are not treating his death as suspicious.