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.
Listen now'The Reaction' podcast: Hear from Slot, Gakpo and Jaros after Crystal Palace 0-1 Liverpool
VideosCrystal Palace 0-1 Liverpool: Watch extended highlights and full 90 minutes
Stream11.55am BST: Live U21s football - watch Manchester United v Liverpool
VideoCrystal Palace 0-1 Liverpool: Watch free highlights
NewsLiverpool's injury list, suspensions and availability