His uncle Karl Davidov was a cellist and composer, and head of the Saint Petersburg Conservatory.

Davidov was a founder and member (from 1894) of the Saint Petersburg Music Society (Russian: Петербургского общества музыкальных собраний), and in 1896 and 1897 its chairman.

He participated in the staging of the operas The Maid of Pskov and Boris Godunov.

Davidov served in the Special Office for Credit in the Ministry of Finance and from the late 1890s was a member of the board of trustees of the Saint Petersburg International Commercial Bank.

He was head of the Commercial Bank of Saint Petersburg from 1909 to 1917, and was a member or chairman of boards of many companies with which the bank was involved, engaged in gold mining, coal mining, machinery manufacturing, and other industries.