Davidson was born in Shooter's Hill, Kent, and grew up in Welwyn, Hertfordshire. He was educated at Henley Grammar School and Bute House School, Petersham. In September 1875 he was commissioned Sub-Lieutenant in the 4th Foot, but a year later transferred to the 60th Rifles and was posted to the 2nd Battalion in India. Soon afterwards he was promoted Lieutenant. He took part in the Second Afghan War in 1878–1880 and was appointed ADC to Lieutenant-General Sir Donald Stewart, and later to Major-General Ross. He served in the Boer War in 1881 and fought at the Battle of Tel-el-Kebir in 1882. In 1883 he was appointed Assistant Inspector of Army Signalling at Aldershot, a position he held until 1889, with the temporary rank of Captain. In 1885 he was promoted substantive Captain and a month later promoted Brevet Major in belated recognition of his services in Afghanistan five years earlier. He took part in the Bechuanaland Expedition of 1885.