The Everton midfielder and his Young Lions team-mates are returning from Chile on Monday afternoon following their group stage elimination at the showpiece.
Despite the disappointment at the early exit, Davies insists the tournament will benefit all those involved in the years to come.
"Waking up this morning it started to sink in – we are gutted to be going home," he told TheFA.com.
"We tried our best but it hasn't worked out how we wanted to and now we have to move on. Hopefully we can use this experience and our hurt to come back stronger."
Tom Davies ahead of England's group game with Korea
The Everton youngster continued: "I think for everyone involved it has been a great experience. We have learned a lot and the scoring goals part is something we need to work on as a group.
"If we could have scored one or two more then we know we would have been through into the knockouts.
"That's been the biggest thing I've learned. In top-end international football you have to take your chances otherwise you will be punished. You have to find a way to score and win matches."
On a personal level, the youngster has enjoyed a memorable few weeks and he says the memories of his time with the England squad will stay with him forever.
From training with the senior squad at St. George's Park prior to their departure to Chile to leading out his country at a World Cup, Davies says he has enjoyed many moments to cherish.
Tom Davies trained with England seniors before departing for Chile
"It's been brilliant for me and my family. No one will ever be able to take the memory of leading out my country at a World Cup away from me. It was the proudest moment of my life.
"It was such a surreal feeling knowing that I was leading out our nation. It's something you never expect to do but when it does come, you can't describe the excitement."
He added: "Even in the friendly against Chile before the tournament. Stepping up to take the first penalty in the shootout with the home crowd all booing and silencing them by scoring. These are experiences that you can't buy."
