Davis tossed 7 1/3 shutout innings and the Royals bullpen escaped a ninth-inning rally with some help from their defense to hand the White Sox their eighth loss in the last 11 games. The defeat also dropped Chicago to 21 games below .500 for the first time since Sept. 25, 2007, when the White Sox were 68-89.
Saturday's loss, just like the other nine that have come in Sale's 19 starts this season, was through no fault of the left-hander. He scattered seven hits and struck out seven while walking one.
The defeat was Sale's 10th of the season, despite the left-hander sporting a 2.69 ERA, 1.02 WHIP, 149 strikeouts in 137 innings and a host of other numbers that make him a serious contender for the American League Cy Young Award.
"It's not easy to try and explain it to him," White Sox manager Robin Ventura said of the lefty's 6-10 record. "But he's learned a tough lesson, and it's part of baseball. He pitched great tonight, there's no question about it. You can't be perfect, but he's pretty dang close."
Saturday was Sale's fourth loss this season while working eight-plus innings and allowing three runs or fewer. According to STATS LLC, the last White Sox pitcher to lose four games with those numbers was Mark Buehrle in 2002.
"Yeah, I mean, just gotta stay on the positive," Sale said of his mindset. "Can't get down on yourself or anyone else. Just keep grinding it out and things will turn around."
The White Sox tried to pull out the win for themselves and Sale in the ninth, putting the tying run on third against Royals closer Greg Holland.
Alex Rios singled, Adam Dunn walked and Paul Konerko grounded into a force out to put runners on the corners with one out. Jeff Keppinger lined a Holland fastball into right field, but Kansas City's David Lough made a diving catch.
Rios, at third, wasn't tagging up on the play and remained at third.
"To tell you the truth, I don't think there's much I could have done," said Rios, a statement with which Ventura concurred. "That was a [heck] of a play, and even if I tagged up I don't think I had a chance at home. It's a tough play for us."
The White Sox had three other scoring chances -- all with two outs -- with the biggest coming in the sixth.
Alejandro De Aza began the inning with a single and Dunn advanced on a two-out throwing error by catcher Salvador Perez to put runners at the corners. Konerko laced Davis' first offering into center, but Kansas City's Lorenzo Cain made a fully extended running catch to end the frame.
The Royals center fielder made a similar grab on Keppinger's liner to open the seventh before Lough's game-saving catch.
"I didn't think he was going to be able to catch it," Royals manager Ned Yost said of Lough. "I mean, he looked like Superman flying through the air to scoop it up. And I still wasn't sure that he caught it -- just a phenomenal play."
Those plays ensured that the game's lone run would stand. Kansas City's Eric Hosmer and Billy Butler opened the sixth inning with consecutive singles, and Cain followed with a one-out double to plate Hosmer.
While that was it for the Royals, Davis kept the White Sox off the board, allowing four hits, striking out four and walking three before exiting in the eighth after an infield single.
"He was sharp and he was getting some help too," Ventura said of Davis. "That works when you're struggling and your defense helps you out, that's good for them."
While Davis received help from his defense, Sale once again got nothing from his offense.
Saturday marked the 12th time in 19 starts the White Sox have scored two runs or fewer for Sale this season, as the lefty is 1-8 in his last 10 starts despite sporting a 2.84 ERA in that span.
It also was Sale's 15th outing in which he pitched at least seven innings. He is 5-7 with a 1.96 ERA and .188 average against in those starts.
This stretch, Sale said, is a first for him at any level of baseball.
"If there's anything I can take out of it -- it's not a good thing -- but there's positives you can take out of it," Sale said. "Baseball's a crazy sport. Sports in general are crazy. Different things happen on different years, this just happens to be a different year. Stay on it, keep your head up and keep grinding it out."