NewsLoan watch: Harvey Davies the hero for Crewe in Carabao Cup shootout win
With the scoreline level at 1-1 after 90 minutes of action, the first-round tie would be decided by spot-kicks, during which Davies saved an effort from Pierre Ekwah to set up a 5-3 win for his side.
The encounter at Stadium of Light was the Liverpool goalkeeper's second appearance for Crewe, having completed a season-long loan to the League Two outfit in June.
"Really good," the 19-year-old reacted post-match. "The lads were coming here and we were really excited. It's really good to get the win and to win on penalties is a bit sweeter."
Elsewhere in the competition on the night, James Balagizi made his debut for Wigan Athletic as a starter and played 58 minutes of their eventual defeat by Wrexham on penalties.
Adam Lewis came off the bench in the second half to help Newport County come from behind and beat Charlton Athletic 3-1.
NewsSofie Lundgaard to undergo surgery on knee injury
NewsDominik Szoboszlai: I have big goals - and work doesn't stop here
VideoInside: Unseen moments and away-end scenes from Liverpool's win at Crystal Palace
Order nowJürgen Klopp's Liverpool FC journey celebrated in new official book
Enter nowCompetition: Win hospitality tickets and Liverpool shirts with MyLFC