Davies tendered her resignation to TBWA\London's chief executive, Matt Shepherd-Smith, this week.
She would not confirm her plans, but said she was considering options, both within and outside the industry.
Suzie Shaw, the agency's client services director, has also resigned.
Davies has worked at TBWA\London since 2004 and will stay at the agency in her current role for the next six months. Shepherd-Smith said he had not yet decided whether to replace her.
The news comes just over a month after TBWA announced the appointment of a group chief executive, Tim Lindsay, alongside a restructure that would bring TBWA\London, Agency.com, Tequila and Stream together under his direction.
Under Lindsay, the agency is also set to unveil its Media Arts concept, a global initiative that will see the agency repackage its planning and comms credentials.
TBWA\London has also recently hired Jo Blundell, the former acting marketing director at McDonald's UK, as its group director on a portfolio of accounts.
Davies was promoted to the position of managing director in June last year, filling the role vacated by Shepherd-Smith, who was promoted to chief executive.
Previously, Davies was the joint managing director alongside Neil Hourston, who is now the executive planning director.
She joined TBWA in 2004 from M&C Saatchi as the head of account management.
Davies denied that the move was connected to the recent restructure, adding that: "The industry is too colourful and exciting not to be considering all my options."