On 6 April, Davidson was in Belgrade's Hotel Majestic when the German saturation bombing started. Operation Punishment was in full force and much of the city was left in ruins. The SOE members joined a convoy of over one hundred evacuees led by the British ambassador Sir Ronald Campbell heading slowly towards the Adriatic coast. They reached Herceg Novi and managed to evacuate the most exposed members, including George Paloczi-Horvath using a Sunderland flying boat. Ambassador Campbell remained with the rest of the group and tried to label the remaining SOE members as Press Attaches hoping that they would be treated as diplomats, although they had no such passport or other evidence. A British submarine was able to reach Herceg Novi but the Italian troops had already taken the town and the group was in their custody. They were loaded onto trucks and driven to Albania for internment. Finally, they were exchanged for Duke of Aosta, the Italian commander in Ethiopia who had been captured by the British Army in East Africa. Davidson eventually reached Gibraltar. Together with the locally posted officers, he was surprised at the news of German invasion of Russia on 22 June and the timing and reasoning behind it.