Davis began his career with Premier League club Aston Villa in 2004. He was named "Young Player of the Year", "The Fans Player of the Year" and "Player of the Year" for the 2005–06 season after making 42 appearances during the season. Davis was sold to Fulham for £4 million in the summer of 2007, but moved on loan to Scottish club Rangers in January 2008 for an initial six months. He was part of the team that reached the 2008 UEFA Cup Final and that won the 2007–08 Scottish League Cup and 2007–08 Scottish Cup. At the end of the season, he moved permanently to Rangers for £3 million. He made 211 appearances for the Glasgow club, winning three consecutive league titles in 2009, 2010 and 2011, two Scottish Cups and three League Cups.