[3] The area was originally known as Rock Creek and was served by a Pony Express station in 1871.

[3] The town of Davey was founded in the Rock Creek area in 1886 when the Fremont, Elkhorn and Missouri Valley Railroad was extended to that point[3][4][5] and was named for Michael Davey, a pioneer citizen.

[6] By 1891, Davey offered a livery barn, an ice house, a meat market, a barber shop, a two-story opera house, a doctor's office, and a confectioner's shop.

[3] In 1900, the Interstate Company of Lincoln began publishing the Davey Mirror, the village newspaper.

[3] In 1903, the Farmers State Bank of Davey opened its doors in the center of the village.

[3] A fire broke out at the local Catholic church in 1919 which spread throughout the town, burning many buildings including the Farmers State Bank of Davey and the telephone office.

[3] The Davey Hall, a WPA project, was built in the 1930s and celebrated by two days of festivities.

[3] According to the United States Census Bureau, the village has a total area of 0.15 square miles (0.39 km2), all land.