Davey studied architecture at Cornell University, Ithaca, New York, from 1904 to 1908. He then immediately began his art study under Robert Henri at the New York School of Art, with whom he remained for two years. Davey also passed summers painting with Henri in Holland, 1910; on Monhegan Island, 1911; and in Spain, 1912. His work was included in the Exhibition of Independent Artists of 1910, and in the 1913 Armory Show, and in 1916 he participated in the founding of the Society of Independent Artists.
On the strong recommendation of their mentor, Robert Henri, Davey in company with John Sloan, motored cross-country from New York in the summer of 1919 for the first experience of Santa Fe, New Mexico. Davey immediately purchased a home there, and after spending the academic year 1919-20 teaching portraiture at the school of the Art Institute of Chicago, settled permanently in Santa Fe. Other teaching commitments included the Kansas City (Missouri) Art Institute, 1921-24, and teaching figure painting at the Broadmoor Art Academy in Colorado Springs, Colorado, the summers of 1924 through 1931; finally in 1945, he joined the faculty of the University of New Mexico, Albuquerque, where he continued to teach to 1956. Although Davey was primarily a portraitist and figure painter, and eschewed the indigenous subject matter of the region, he was an established member of the second generation of the Taos/Santa Fe School.
A regular participant in the Academy's annual exhibitions, Davey received a Hallgarten Prize in 1915, Clarke Prize in 1938, Altman Prize in 1941, and in 1955, the Proctor Prize for portraiture.
