Before the United Kingdom European Union membership referendum held on 23 June 2016, she campaigned against British withdrawal from the European Union. On 21 June 2016, she participated in the BBC's Wembley Arena Debate, as a panellist for the "Remain" campaign with Frances O'Grady and Mayor of London, Sadiq Khan; and former Mayor of London and Conservative MP Boris Johnson, Labour MP Gisela Stuart and Conservative MP Andrea Leadsom, who argued on behalf of the "Leave" campaign as part of a cross-party debate. The referendum saw the United Kingdom narrowly vote to leave the European Union, while 62% of the Scottish electorate backed remaining in the EU. Following the announcement of the result, First Minister Nicola Sturgeon suggested the constitutional change it would bring about justified the need for a second referendum on Scottish independence, but Davidson said this would not be the answer to concerns raised by the prospect of leaving the European Union: "The 1.6 million votes cast in this referendum in favour of Remain do not wipe away the two million votes that were cast less than two years ago". She also called on the UK and Scottish Governments to work together and put "stability" first.