Pic: Tai Chengzhe / TOP147.com
Veteran Davis came from 4-1 down to 4-4 before Walden, who won the Wuxi Classic in July, regained his composure with a superb break of 92 to win the deciding frame. The Chester-based cueman, who won this title in 2008, goes through to the last 16 to face Mark Williams.
Walden won the opening frame before 55-year-old Davis nicked the second on a respotted black. Walden won the next two with top breaks of 53 and 41 then potted pink and black in the fifth for 4-1. Six-time World Champion Davis hit back to win three tight frames to force the decider, only for his opponent to prevail with a fine finish.
"It was a struggle for most of the match but I was delighted with the break in the last frame," said Walden. "The first match is always the toughest because you have to get used to the table. Now I'm into the last 16 I feel as if I can have a good run.
"There are so many ranking events in China now that you have to be well up for them, your attitude towards coming here has to be right. I love playing here, the people are enthusiastic and the set-ups of the events are as good as anything in the UK."
Davis said: "I nearly got out of jail, but Ricky deserved to win in the end. I'm going to sulk now, which is an important part of being a snooker player. I won't talk to anyone or answer my phone, I'll just pretend that the world doesn't exist until the pain goes away."
Neil Robertson, who reached the semi-finals here last year but is yet to win a ranking event in China, scored a 5-2 win over wild card Chen Feilong with top breaks of 88, 53 and 61. The Australian now meets his chief practice partner Joe Perry.
"I didn't play well but Chen missed a lot of easy balls and gave me second chances," said Masters champion Robertson. "His safety was better than mine but he lacks experience. I will need to play better than that against Joe. We see each other's game in the club every day so there will be no surprises.
"I have been struggling with my sleep pattern here which is strange because I played in an event in Hong Kong last week (which he won, beating Walden in the final) so I thought I had adjusted, but I have fallen back into a bad pattern."
Stephen Lee came from 3-2 down to beat Marcus Campbell 5-3 with a top break of 68 while Stuart Bingham beat Tom Ford 5-4 after winning a safety battle on the last red in the deciding frame.
Ball by ball scoring and results from tournaments