Defeat – which came just three days after a 1-0 loss to Portugal in Lisbon – leaves Wales with plenty of work to do.
They will at least have home advantage at Cardiff City Stadium as they prepare for the remainder of the current international break, with matches against Norway on Thursday, 1 October and then Denmark the following Sunday.
Captain Davies feels Wales are being taught some harsh lessons in what is their second stint in the top tier of the Nations League.
“It was a tough game. They are a good team and made it a hard game for us,” the Spurs defender told BBC Match of the Day Wales.
“It was really frustrating to concede from two set pieces. The Nations League games are against the best teams in Europe, it was always going to be tough.
“If you’re not at 100% then you are going to get punished at this level. We have to regroup and go again on Thursday.”
Despite the setback in the Danish capital, winger Sorba Thomas echoed Bellamy’s sentiments that Wales can improve.
“Thankfully we’ve got two games at home still to come. We’ll have home advantage so we need to show a reaction,” he told BBC Match of the Day Wales.
“We are just going to get better, we are a small nation but we’ve got big hearts and beliefs and for us it’s about showing that more on the pitch.”