He was born in Wiltshire, and educated at Winchester College and at the Queen's College, Oxford. His poem, Orchestra, was published in 1594, the year before he was called to the bar from the Middle Temple. He became a favourite of Queen Elizabeth I, to whom he addressed his work, Hymns of Astraea, in 1599. At the time he was suspended from practising law because of an assault, but he was allowed back into the profession in 1601. In 1603, he was part of the deputation sent to bring King James VI of Scotland to London as the new monarch. James was also an admirer of Davies's poetry, and rewarded him by knighting him and making him Solicitor-General and later Attorney-General for Ireland. He also became an MP in the Irish Parliament.
In 1626, he was appointed Lord Chief Justice of England, but died before he could take up office.