The younger brother of actor Frankie Lee (1911–1970), at the age of three, Davey Lee made his screen debut in one of the early talkies, The Singing Fool (1928) starring Al Jolson, in which he played the part of "Sonny Boy".

The Singing Fool remained the most successful film until Gone with the Wind (1939), produced by MGM.

Lee also played the title role in the film Sonny Boy (1929), starring Betty Bronson.

Other films in which he appeared were Frozen River (1929), in which he played opposite canine film star Rin Tin Tin, Skin Deep (1929) as the son of John Bowers, and The Squealer (1930) as the son of Jack Holt.

After suffering a stroke, Davey Lee was admitted to Windsor Gardens Healthcare Centre in Van Nuys, California, and died from natural causes in Los Angeles on June 17, 2008, aged 83.