He was born at Barrhead, East Renfrewshire as the son of Alexander Davidson, an Evangelical Union minister and Helen née Crocket of Elgin.

He varied his career by spending a year as clerk in a Glasgow thread firm (1884–85), and subsequently taught in Morrison's Academy, Crieff (1885–88), and in a private school at Greenock (1888–89).

[5][6] Davidson's first published work was Bruce, a chronicle play in the Elizabethan manner, which appeared with a Glasgow imprint in 1886.

In a Music Hall and other Poems (1891) suggested what Fleet Street Eclogues (1893) proved, that Davidson possessed a genuine and distinctive poetic gift.

The late nineteenth century English novelist George Gissing read both these volumes in one day in 1893 at the British Museum Library.

His later verse, which is often fine rhetoric rather than poetry, expressed the belief which is summed up in the last words that he wrote, "Men are the universe become conscious; the simplest man should consider himself too great to be called after any name."

Besides the works cited, he wrote many other works, including The Wonderful Mission of Earl Lavender (1895), a novel which included flagellation erotica, and he contributed an introduction to Shakespeare's Sonnets (Renaissance edition, 1908), which, like his various prefaces and essays, shows him a subtle literary critic.

In Men and Memories (1931), Rothenstein said that when Max Beerbohm looked at his pictures of Davidson, he had complimented him on the 'subtle way he had handled his toupée'.

Frank Harris, a member of the Rhymers' Club described him in 1889 thus:"... a little below middle height, but strongly built with square shoulders and remarkably fine face and head; the features were almost classically regular, the eyes dark brown and large, the forehead high, the hair and moustache black.

His manners were perfectly frank and natural; he met everyone in the same unaffected kindly human way; I never saw a trace in him of snobbishness or incivility.

"[13][14]In 1906 he was awarded a civil list pension of £100 per annum and George Bernard Shaw did what he could to help him financially, but poverty, ill-health, and his declining powers, exacerbated by the onset of cancer, caused profound hopelessness and clinical depression.

In his will he desired that no biography should be written, none of his unpublished works published, and "no word except of my writing is ever to appear in any book of mine as long as the copyright endures.