Davis was mustered into service with the 12th Illinois Cavalry in February 1862 as a lieutenant colonel. Arriving shortly after the First Battle of Winchester, Davis was put in charge of scouting posts. On a mission around Bunker Hill, West Virginia, Davis successfully repelled a Confederate attack. The Confederates counterattacked the next morning, but Davis sent a band of forty troops out near Darkesville, West Virginia. Under Davis' command, they routed the opposing troops, killing 25, including the grandson of Charles Carroll of Carrollton, and taking 50 prisoners.