After the high of ending Wycombe's unbeaten run in the league, Aldershot got off to the worst possible start by conceding inside the first minute.
Adam Proudlock stole in front of Anthony Charles inside the box but the defender recovered to make a last-ditch block.
From the corner Aldershot were still asleep and Congolese international Jean-Paul Kalala picked up the loose ball on the edge of the area and fired into the bottom corner past an unsighted Nikki Bull.
On 10 minutes, Danny Hylton drove wide of the left post from 12 yards after wrestling his way past Robert Atkinson.
At the end of the first quarter, Andy Sandell drove a simple chance across the face of the goal.
The Mariners doubled their lead as half-time approached and Bull's poor clearance fell to Jamie Clarke.
The goalkeeper recovered well to block the shot but Nick Hegarty beat Chris Blackburn in a foot race and calmly slotted into the bottom corner.
The home side got back into the game on 49 minutes when Richard Hope was adjudged to have pushed Charles and Reading loanee Davies hammered home from the spot.
On 68 minutes, Hylton went clean through on goal but Phil Barnes narrowed down the striker's angle and made an impressive save at his feet.
Seconds later, Grimsby responded through an Atkinson drive across the face of the goal from 20 yards, but the midfielder should have done better with time and space available.
Aldershot continued to press and were rewarded with a second penalty when Richard Hope handballed Sandell's cross and Davies again drove into the top corner.
On 85 minutes, Sandell again caused problems down the right flank and his cross found John Grant unmarked, but the substitute headed straight into the arms of Barnes.
Grimsby proved to be Aldershot's toughest opponents at home so far this season and can be satisfied on the long trip back to Lincolnshire.