Davey is of Indigenous Australian descent with tribal ancestry that can be traced to the Kokatha people in South Australia[1] Alwyn was born to mother Lizzie,[2] named after father Alwyn Davey[3] and raised in Darwin, Northern Territory.

Davey first attracted the attention of AFL talent scouts after the impressive first and second seasons of his brother Aaron for the Melbourne Football Club.

Essendon coach Kevin Sheedy had become particularly interested in the progress of Aaron Davey and since the success of Andrew Lovett, fast indigenous players in general.

During the round 14 game against Geelong, he suffered a broken arm when crashed into while on the ground by Kane Tenace.

In 2009, his defensive pressure in the forward line has been a welcome return to the Essendon squad, currently leading the tackle count.

In 2013, Essendon Football Club announced that Alwyn Davey would not be offered a contract for the 2014 AFL season.