Mr Davies reportedly moved to Australia in 2017 with his wife Liz Davies after being acquitted in 2009 of the murder of his family in 1994.
As the 30-year anniversary of the murders approaches, it appears the couple are living in New Zealand with their children.
A source connected to the Bain family told the Otago Daily Times "the last I heard David and his family were living in Cambridge".
A neighbour said Mr Davies had been living a few houses down the road from him for "a few years now".
"I was working with him ... about a year or so ago."
Mrs Davies is listed as a teacher at a local primary school and residents spoken to by the ODT said the family had been rumoured for years to be living on the outskirts of the Waikato town.
David Bain was found guilty of the murder of his five family members — Robin, 58, Margaret, 50, Arawa, 19, Laniet, 18, and Stephen, 14, — in May 1995 and jailed for life with a minimum term of 16 years.
They were fatally shot on June 20, 1994 in their Dunedin home.
After years of legal battles, Mr Bain was granted a retrial in 2007. The 2009 trial saw him acquitted of killing his parents and siblings.
He later changed his name to William David Cullen Davies through a deed poll process, taking his wife’s surname.
Mrs Davies has been teaching year 3 and 4 pupils at the local school since at least 2020 and is recorded as living on a $1.27 million lifestyle block on the rural outskirts of the town.
The property last changed hands in 2018, with records showing a house was built on the land the following year.
The neighbour said he had no concerns living next to Mr Davies.
"I don’t have a problem with him, no, there’s been no issues."
A Cambridge mother said her children went to school with the Davies children, but "never gave it too much thought".
"They weren’t in the same year, but my kids used to talk about [the Bain connection] sometimes.
"I used to think it was silly kid gossip, but a lot of people around the whole town have been saying the same thing. A few of the older ladies also say they have seen him around.
"To be honest, I couldn’t spot him on the street.
"Judging by pictures he is a pretty average-looking man of his age."
Other residents of the town told the Otago Daily Times they had also heard the family was living there.
A Cambridge resident said Mrs Davies was her child’s teacher last year, but she was unaware who her husband was.
"I have memories about the case on the news, although I was about 8 at the time and I remember my parents talking about it and being just gobsmacked.
"It’s a bit crazy he is just here in Cambridge and his wife taught my child, but I suppose they have to live and work somewhere don’t they?"
Long-time David Bain supporter Joe Karam said he did not "want to comment on their personal life".
"They are a married couple and I am not William's keeper."
The principal at Mrs Davies’ school said she was a well-liked teacher.
"Elizabeth is a very respected member of our school and is a very sought-after teacher by our parents."
He declined to comment further.
Mrs Davies did not respond to a request for a comment.
