Playing in his first BBL game in nine years, Warner struck 19 off 20 balls as he farmed the strike in a 67-run partnership with Davies.
Warner hooked speedster Lance Morris for one boundary and drove AJ Tye for another back over the quick's head, before he was caught behind trying to ramp Matthew Kelly.
At the other end, Davies took charge.
He hit Ashton Agar back over his head for two big sixes, and also hit Tye over long on for another six.
But when he and Warner were separated, the Thunder crumbled.
Tye took three wickets and David Payne, Morris and Kelly all took two, as the Thunder lost 8-41 to be all out in 19 overs.
Morris was particularly impressive in his second game back from Australia's Test squad, bowling 15 dot balls.
Cameron Bancroft provided another highlight, with a superb diving catch at long on just as Nathan McAndrew (21) threatened to build the Thunder's total up late in the innings.Â
The Scorchers sit atop the ladder with seven wins from their nine games, while the Thunder had hoped to go second with a win on Friday night.
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