The 23-year-old arrives at The City Ground on a loan deal until the end of the season and becomes Steve Cooper’s first signing since taking charge of The Reds in September.
After completing his move to Forest, the striker told the club’s official website: "It feels good to be here, especially early in the window so I can just hit the ground running and get going straight away.
"Forest are a big club who have won major European trophies and their history speaks for itself.
"I want to help improve the team, hopefully keep progressing along the way and see where we are at the end of the season.
"The games come thick and fast, so always being fit and available, picking up results and building momentum come the end of the season is important.
Head coach Steve Cooper added: "We are delighted that Keinan has chosen to join us as he had offers elsewhere but has seen us as the right option for his development at this stage of his career.
“I have tracked him over a number of seasons and think it’s a good move for all parties. I’m really happy that Keinan is joining us and am really looking forward to working with him.”
Davis joined Villa in December 2015 and has since scored six goals in 28 starts for the club, scoring his first Premier League goal against West Bromwich Albion last season in a campaign where he featured 15 times in the top flight.