He then teamed up with Holcombe Ward and won the Men's Doubles title at the championships for three years in a row from 1899 to 1901.

During his tenure, he expanded athletic facilities and created the first municipal tennis courts in the United States.

With war declared Davis enlisted as a private in the Missouri National Guard and was commissioned in August 1917.

His daughter Alice Brooks Davis was married to the British Ambassador to the United States Sir Roger Makins.

Another daughter, Cynthia Davis, was married to banker William McChesney Martin Jr., the longest-serving Federal Reserve director (1951–1970) who served under five presidents (Truman to Nixon).

The President of the United States of America, authorized by Act of Congress, July 9, 1918, takes pleasure in presenting the Distinguished Service Cross to Major (General Staff Corps) Dwight Filley Davis, United States Army, for extraordinary heroism in action while serving with Adjutant, 69th Infantry Brigade, 35th Division, A.E.F., between Baulny and Chaudron Farm, France, September 29 - 30, 1918.

After exposure to severe shelling and machine-gun fire for three days, during which time he displayed rare courage and devotion to duty, Major Davis, then Adjutant, 69th Infantry Brigade, voluntarily and in the face of intense enemy machine-gun and artillery fire proceeded to various points in his brigade sector, assisted in reorganizing positions, and in replacing units of the brigade, this self-imposed duty necessitating continued exposure to concentrated enemy fire.

September 38, 1918, learning that a strong counterattack had been launched by the enemy against Baulny ridge and was progressing successfully, he voluntarily organized such special duty men as could be found and with them rushed forward to reinforce the line under attack, exposing himself with such coolness and great courage that his conduct inspired the troops in this crisis and enabled them to hold on in the face of vastly superior numbers.