He later acknowledged that he was bisexual, and was receiving treatment for a personality disorder which led him to seek out risky situations. He stood down from Parliament at the 2001 general election. On 30 January 1999, Davies was selected as a Labour candidate for the first elections to the National Assembly for Wales. He was elected on 6 May 1999 as Assembly Member for the Caerphilly Constituency, and initially chaired the Economic Development Committee after Alun Michael refused to appoint him to his Cabinet. Further revelations and disagreements with the Labour leadership resulted in his resignation from the chairmanship of the committee. He is known for the phrase "Devolution is a process and not an event", by which he meant that the settlement he introduced in 1997 would not be the final one, and more powers would accrue to the Welsh Assembly over time. He wrote a pamphlet for the think tank the Institute of Welsh Affairs with the same title in 1998. Shortly before the 2003 assembly elections, "The Sun" revealed that Davies had been visiting a well known cruising spot near a motorway lay-by. When challenged as to what he had been doing there, Davies initially denied being there, then told reporters that he had been going for a short walk, adding: "I have actually been there when I have been watching badgers". Davies was forced by his local party to stand down as Labour candidate in the election. Davies resigned from the Labour Party in 2004, citing opposition to the Iraq War, the party's stance on university funding and worries about the competence of the Wales Labour Party. He subsequently joined the new Forward Wales political party, and stood for election to the European Parliament in June 2004 as a candidate of that party, but failed to be elected. He then stood unsuccessfully in the 2007 assembly elections as an independent for Caerphilly, placing third behind Labour and Plaid Cymru. In the 2008 local elections he was elected to Caerphilly County Borough Council, as an independent councillor for the Bedwas, Trethomas and Machen ward. He also was the Cabinet Member for Regeneration. Davies then started actively supporting the Plaid Cymru administration in Caerphilly. His Forward Wales Party disbanded in January 2010, paving the way for him to stand as a Plaid Cymru candidate. Davies appeared at a Plaid Cymru rally in Aberystwyth during the 2010 UK general election campaign. He joined the party later in 2010 and stood unsuccessfully as the party's candidate in Caerphilly in the 2011 Assembly elections.