The six-time All-Star departed in the second quarter of the 131-122 victory on Thursday at Smoothie King Center in New Orleans. The Pelicans announced he wouldn't return with the left shoulder issue in the second half.
He was attempting to block a shot from Thunder big man Nerlens Noel before getting injured in the final second of the first half. Davis committed a foul on the play.
Davis had 14 points, four rebounds, two assists, a block and a steal in 15 minutes before sustaining the injury. Sources told ESPN and the New Orleans Times-Picayune that an MRI showed Davis has a muscle contusion.
Pelicans coach Alvin Gentry did not offer much information on the injury after the win. He declined to address questions about Davis leaving the building, instead of staying on the team's bench to watch the remainder of the game.
"I'm going to talk about the guys who played the game. They did a great job. We found a way to win the game. That's what's important," Gentry told reporters.
Davis, 25, is averaging 28.1 points, 12.9 rebounds, 4.2 assists and 2.5 blocks per game this season for the Pelicans.
He is slated to participate in the 2019 NBA All-Star game, which tips off at 8 p.m. on Sunday in Charlotte. Davis will receive treatment on the shoulder in Charlotte in the days leading up to the clash between Team LeBron and Team Giannis at Spectrum Center.