Davis was born and raised in Illinois. He came to Mexico about 1910 and worked for the Sonora News Company selling newspapers, guidebooks, and souvenirs on the Southern Pacific Railway line south from Nogales, Arizona. Davis, who was interested in folk art and pre-Columbian art of Mexico became the manager of the Sonora Company's arts and crafts showroom in Mexico City. During the Mexican Revolution (1910-1920), many Mexican antiques came on the market. After 1920, as stability returned and Americans became interested in Mexico, Davis's shop attracted collectors and other visitors. Artists of the emerging “Mexican school” were interested in both historical and contemporary folk art, so they also gravitated to Davis's shop. Davis was among the first to collect, display and sell their work. He exhibited work by Diego Rivera, José Clemente Orozco, and Rufino Tamayo; others who came to the shop included Miguel Covarrubias and Jean Charlot. Davis also displayed work by Americans including George Biddle, Caroline Durieux, and William Spratling.