Born in Cornwall, Davey first studied art in Exeter before going to Goldsmiths College in London in 1985 where he took a diploma in fine art. His first solo show was in 1987.
Davey's work is influenced by the work of sculptors such as Tony Cragg and Richard Deacon and shows a similar interest in industrial materials. The simplicity of his forms shows an affinity with minimalism. Many of his works make references to everyday objects which if exhibited in themselves would be readymades.
Button, a metre and a half wide clothes button made in steel, is a typical early work. Later works, such as Gold (Table) (a table as tall as a human) are larger in size.
Davey won the Turner Prize in 1992.