He began his career in professional baseball in 1928 at the age of 24 with the Salt Lake City Bees of the Class C Utah–Idaho League, and promptly won 16 of 30 decisions.

The following year, he jumped all the way to the top minor-league level as a member of the San Francisco Seals of the Pacific Coast League.

Appearing in that season's Midsummer Classic, played at Braves Field, Boston, Davis entered the contest in the seventh inning with his side ahead, 4–0.

But he gave up a home run to Lou Gehrig, the first batter he faced, and singles to Baseball Hall of Famers Goose Goslin, Jimmie Foxx and Luke Appling; he retired two other Hall of Famers, Earl Averill and Bill Dickey, but had to be relieved by Lonnie Warneke with the National League margin cut to only one run.

Then, the following year, on June 12, 1940, he was traded to Brooklyn with future Hall of Fame slugger Joe Medwick for four players and $125,000, in one of the highest-profile transactions of the baseball season.

Then he started Game 1 of the 1941 World Series against the New York Yankees, surrendering six hits and three earned runs in 51⁄3 innings pitched.