Davis was born in Baltimore and earned her public school teaching certificate in Maryland at the age of 15. In 1878 she became the first black woman employed by the Office of the Recorder of Deeds. Hired by General George Sheridan as a copyist, she remained in the job when Frederick Douglass was appointed in 1881. That same year she began studying drama and made her first appearance as an elocutionist, a public speaker employing a dramatic style of delivery, on April 25, 1883, in Washington, introduced by Frederick Douglass. She went on to tour the Northeast and Midwest as a popular speaker. In the 1890s, Davis became interested in the work of Marcus Garvey, and in 1919 she gave up her career to work with Garvey. Over time she became UNIA's vice president, its first international organizer, and a director of the Black Star Line, founded in 1919 as a shipping line to foster black trade, transport passengers among the United States, the Caribbean, and Africa, and to serve as a symbol of black grandeur and enterprise.

After an eventful career with UNIA-ACL, Davis broke with Garvey in 1932 and became a leader of the rival organization, Universal Negro Improvement Association, Inc.