Davidson was born in Milwaukee, Wisconsin, to William C. Davidson (1846–1923), who was born and grew up in Angus, Scotland, and Margaret Adams McFarlane (1843–1933) of Scottish descent from the small Scottish settlement of Cambridge, Wisconsin; they raised five children together: Janet May, William A., Walter, Arthur and Elizabeth.

Eventually they settled in Wisconsin, and it was there that, in 1903, Arthur, went into business with William S. Harley, making motorcycles in his family shed.

[3] One of Davidson's favorite pastimes was fishing in the Wisconsin wilderness, which inspired him to create a motorcycle that would, "take the hard work out of pedaling a bicycle".

One day shortly after Davidson's cleaning lady visited, he discovered the seed money he had stashed between his mattress to start Harley-Davidson was missing.

[5] The bee farm on Lake Mendota was later sold to the University of Wisconsin–Madison, and is now known as Picnic Point in the Lakeshore Nature Preserve.