At the outbreak of the Civil War, Henry E. Davies became a captain of the 5th New York Volunteer Infantry Regiment and fought in one of the first battles of the war, the Battle of Big Bethel, Virginia on June 10, 1861. In August 1861, Davies was appointed major of the 2nd New York Cavalry Regiment. The regiment was attached to Major General Irvin McDowell's corps on the Rappahannock River line during the Peninsula Campaign. The regiment was heavily engaged in the campaign of Second Manassas. Davies was promoted to lieutenant colonel in December 1862 and to colonel in June 1863. In June 1863, the 2d New York Cavalry suffered heavy casualties at Beverly's Ford, Virginia during the Battle of Brandy Station on June 9, 1863 and at the Battle of Aldie, Virginia on June 17, 1863. The regiment was stationed at the Union Army supply base at Westminster, Maryland during the Battle of Gettysburg.