Davies, 31, moved from Australia to America after his divorce and stated that he hadn't even had the chance to FaceTime his kids, Eli and Winter, since he "shook [his] whole family up."
The 31-year-old admitted that he "felt like a badder husband" to his ex-wife and felt "like I did abandon" his family.
"I felt like I needed to like accept it because I was the one who moved to America, you know," he added. "I moved over here."
Choking up, the rugby player shared that the last time he physically saw his kids was when he dropped them off at an airport and got "a photo saying goodbye to them both."
36-year-old Shay tried to defend her fiancé in her own confessional, saying that there is a lot more to the story than what meets the eye.
She added: "No contact, but it's not for lack of trying. He moved to America to provide a better life for his family."
Davies also noted that he "was very young" when he had decided to get married to his first wife, and was just 20-year-old when he welcomed his first child.
"I was very young, I was a different person" he said. "Me and my ex, we had two beautiful kids. We split up and she felt like I abandoned her and the kids by coming to America. She moved on with the kids' stepdad, who then fulfilled the role of being a dad for my kids."