In 2000, Payne became the head coach of the Pee Dee Pride in the ECHL. Payne coached there through the 2003 season, attaining a regular season record of 104–67–17.[1] The team also made the playoffs all three seasons, advancing to the second round each year. After the 2002–2003 season, Payne began coaching the Alaska Aces (ECHL). Payne coached in Alaska from 2003 to 2007, leading the team to the playoffs every year, including a Kelly Cup Championship in 2005–2006 season. He ended his tenure at the Aces with a regular season record of 185–75–28 and a playoff record of 38–21.[1] Payne is also one of two coaches to lead his team to back-to-back 100-point seasons, winning the Brabham Cup in 2005–06 with 113 points and finishing second in 2006–07 with 105 points.[1]
NHL: St. Louis Blues
On January 2, 2010, Payne was named the interim head coach of the St. Louis Blues following the club's dismissal of Andy Murray.[2]
On April 14, 2010, the St. Louis Blues removed the interim tag from Davis' title, and he became the full-time head coach of the team. He was fired on November 6, 2011, after his team got off to a 6–7 start and was replaced by former Dallas Stars head coach Ken Hitchcock.
On July 5, 2017, the Buffalo Sabres announced Payne was hired as associate coach to Phil Housley, a position Payne held for two seasons.
In June 2019, it was announced that Payne had become an assistant coach for the Ottawa Senators.[3] When head coach D. J. Smith was dismissed in December 2023, Payne was also dismissed.[4]