Anderlecht made the announcement on Saturday, saying that the 45-year-old Welshman had signed a contract until 2022 to join "TeamKompany".
Kompany has become Anderlecht's player-manager after helping Manchester City to become the first team to win the English domestic treble.
Former Manchester United and Chester City midfielder Davies has worked for Manchester City for nine years, succeeding Patrick Vieira as head of the club's elite development squad, including the under-23 side.
He has also been head of academy coaching from under-13s to under-23s.
"When Vinny asked me to make the move with him to RSC Anderlecht, I didn't hesitate," Davies said in a statement released by the Belgian club.
"We are starting a beautiful project: taking RSC Anderlecht back to the place where they belong, with special emphasis on the development of talented young players."
(Reporting by Philip Blenkinsop; Editing by Amlan Chakraborty)
