The Demons, who lined up with 19 players from last year's grand final triumph, trailed by as many as 14 points before halftime on Friday night.
But they asserted their authority with five unanswered goals in a scintillating third quarter to run away with a 10.13 (73) to 4.7 (31) victory at Ikon Park.
Magpies captain Davey was best afield with 35 disposals, 11 clearances, five tackles and a goal in her comeback after missing both seasons in 2022 with her second major knee injury.
Teammate Brittany Bonnici (17 disposals) also impressed on her return from a torn anterior cruciate ligament.
But Melbourne's spread of contributors was far greater, with Olivia Purcell (19 disposals), Paxy Paxman (18), Lily Mithen (18) and captain Kate Hore (17) all having an impact.
Alyssa Bannan (three goals), Eden Zanker and Shelley Heath (two each) were all dangerous in attack as the Demons made a significant statement.
"We knew the pressure was going to be on early and the contest was hot," Hore told the Seven Network.
"But we knew if we just kept grinding it out we'd eventually start to play the game that we like to play.
"We got there in the end."
Melbourne opened season eight by unveiling their premiership flag, with retired former captain Daisy Pearce central in proceedings before taking up a role in the television commentary box.
The Demons were in control early but wasted chances in front of goal and trailed by two points at quarter-time as Collingwood kicked four of the first five goals.
One came from Davey, who celebrated her return with a major from a free kick midway through the second term.
But Melbourne kicked the final nine goals of the game, with Hore instrumental as they piled on 5.4 to 0.1 in the third quarter.
Demons forward Tayla Harris (13 disposals, one goal) pulled in four contested marks to become the first player in AFLW history to reach 100 across her career.
Sarah Rowe (20 touches) was busy for Collingwood, who lost last season's leading goalkicker Eliza James to a left ankle injury before halftime.
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