The Wildcats (16-1, 2-0 Southeastern Conference) had a 23-6 closing run for their second straight 15-point league win. They didn't take a double-digit lead over the Tigers (10-6, 0-2) until Davis scored on an alley-oop pass from Lamb with 1:31 left.
Kentucky has won the last 13 meetings and 27 of 28 against the Tigers.
But a team coached by John Calipari protégé Tony Barbee held the Wildcats to 40.4 percent (23 of 57) shooting. Auburn held its own with a formidable frontcourt, and Kentucky was outrebounded for the second straight game (35-29).
The Wildcats came into the game dominating the boards with an SEC-best 8.8-rebound margin over opponents, but lost out on a number of scrambles for the ball.
Davis had six rebounds and four blocks, but had his string of double-doubles end at five games.
Rob Chubb led Auburn with 14 points and eight rebounds, but missed all three of his shots in the second half. Chris Denson had 12 points.
Kentucky, which committed just eight turnovers, gradually gained control after Auburn took a 47-45 lead on Chubb's two free throws with 10:52 left.
Miller and Michael Kidd-Gilchrist hit back-to-back 3s late in a 13-2 run that all but ended any concerns, and the Wildcats didn't let up from there. The biggest remaining question was if the Wildcats would have only their third single-digit win — the first two coming against then-top 5 teams North Carolina and Louisville.
Auburn didn't join that illustrious group.
Barbee fell to 0-5 coaching against Kentucky's Calipari, the first three coming at UTEP. He played for Calipari at UMass and coached under him at Memphis.
The Tigers kept it close even with leading scorers Kenny Gabriel and Frankie Sullivan in foul trouble. Gabriel had six points and Sullivan five after both came in averaging nearly 12.
It was tight throughout the first half.
Miller, though, finished with a 3-pointer as time expired after a turnover to put the Wildcats ahead 32-28.
Barbee's move to a bigger lineup paid off with 6-foot-8 Adrian Forbes getting his first start. The Tigers had an even bigger rebounding edge at halftime, 21-11.