The Onion Knight is slowly emerging from an intense depression. A quick run-through of his miserable life: Davos started as a smuggler, became Stannis' right-hand man (minus four finger tips, which the Lord took for his crimes), watched his son die in Blackwater Bay, was imprisoned for pulling a knife on Melisandre, and discovered that Stannis had burned princess Shireen (a girl who effectively acted as Davos' surrogate daughter) at the stake.
When Jon Snow came back to life, Davos was at a breaking point. But Jon's quest towards Winterfell, and possibly the Iron Throne, should set Davos up for some action that could calm his inner chaos and give him new purpose. Or maybe Melisandre will bring back Shireen and we'll get two for the price of one!