Other major works include a recurring role as Lady Crane in season six of the television series Game of Thrones, Sister Iphigenia in Lambs of God, and the role of Ellen Kelly in Justin Kurzel's True History of the Kelly Gang.

[1] She was educated at Clarence High School; Rosny College; the University of Tasmania, where she was a member of the Old Nick Company;[1] and the National Institute of Dramatic Art (NIDA) in Sydney.

[5] After further stage performances in Australia, including Gwendolen Fairfax in a national tour of The Importance of Being Earnest in 2000 and The School for Scandal for the Sydney Theatre Company in 2001, in 2003 she won the Laurence Olivier Award for Best Supporting Actress for her performance as Stella Kowalski opposite Glenn Close in Trevor Nunn's production of Tennessee Williams play A Streetcar Named Desire at the National Theatre in London.

[6] In 2004 she starred in a Broadway production of Tom Stoppard's Jumpers at the Brooks Atkinson Theatre, for which she earned a Tony Award nomination.

The same year, Davis played Maggie in Cat on a Hot Tin Roof for the Melbourne Theatre Company.

[15] In 2018, Davis filmed the mini-series Lambs of God for Foxtel, playing the role of Sister Iphigenia.

[17] For her performance as Sister Iphigenia, Davis has been nominated for an AACTA Award for Best Lead Actress in a Drama Series.